How can I price an existing bond using the FLOATBYZERO function in the Financial Derivatives Toolbox?

I would like to price the following bond using the FLOATBYZERO function:

The spread of the bond is 50bp. It is an existing floating bond which was issued two years ago. The last reset is 12/31/2004 and it will mature 12/31/2010. I would like to find the price of this bond on 4/5/2005.

Answer 1

[MathWorks Support Team]

The following code uses the FLOATBYZERO function to meet the bond specification:

Spread   = 50;

Maturity = '12-31-2010';

Settle   = '04-05-2005';

RateData = [datenum('12/31/2004')  datenum('6/30/2005')   2.78

              datenum(  '4/5/2005')  datenum('10/5/2005')   3.38

              datenum(  '4/5/2005')  datenum( '4/5/2006')   3.79

              datenum(  '4/5/2005')  datenum( '4/5/2007')   4.16

              datenum(  '4/5/2005')  datenum( '4/5/2008')   4.36

              datenum(  '4/5/2005')  datenum( '4/5/2010')   4.59

              datenum(  '4/5/2005')  datenum( '4/5/2012')   4.76

              datenum(  '4/5/2005')  datenum( '4/5/2015')   4.94];

StartDates = RateData(:,1);

EndDates   = RateData(:,2);

Rates      = RateData(:,3) / 100;

RateSpec = intenvset('ValuationDate', '12-31-2004', 'StartDates',StartDates, 'EndDates', EndDates, 'Rates', Rates)

Price = floatbyzero(RateSpec, Spread, Settle, Maturity, 2)