hcomputeMTMValues, Expression or statement is incomplete or incorrect.

I try to use the function "hcomputeMTMValues" on my matlab code but it doesn't work!I'm getting the following error when I try to run the function: "Expression or statement is incomplete or incorrect." Please, help me.

[Chris Perkins]

Hi Flavia,

Please post the actual code that is causing this error. From the error message, it sounds like there may be a syntax error in your code.

[FLAVIA VITRANO]

% Read swaps from spreadsheet
FileSwap = ('DATASET.xls'); SwapPort = readtable(FileSwap, 'Sheet', 'Swap_Portfolio');
swaps.LegType = [SwapPort.LegType ~SwapPort.LegType]; swaps.LegRate = [SwapPort.LegRateReceiving SwapPort.LegRatePaying]; swaps.LegReset = ones(size(SwapPort,1),1);
numSwaps = size(SwapPort,1);
% Create ZeroCurve from the Interest Rate Curve
Settle = datenum('22-Dec-2017');
Tenor = [3 6 9 12 2*12 3*12 4*12 5*12 6*12 7*12 8*12 9*12 10*12 11*12 ... 12*12 13*12 14*12 15*12 16*12 17*12 18*12 19*12 20*12 21*12 22*12 ... 23*12 24*12 25*12 26*12 27*12 28*12 29*12 30*12]';
ZeroRates= [-0.00826033 -0.00813788 -0.00797468 -0.00777337 -0.00664987 ... -0.005174 -0.00353124 -0.00185911 -0.00024712 0.00125365 0.00261937 ... 0.00384398 0.00493208 0.005894 0.00674254 0.00749109 0.00815247 ... 0.00873837 0.00925918 0.00972392 0.01014033 0.010515 0.01085353 ... 0.01116065 0.01144038 0.01169612 0.01193075 0.01214674 0.01234619 ... 0.01253093 0.01270249 0.01286225 0.01301137]';
ZeroDates = datemnth(Settle,Tenor);
Compounding = 2;
Basis = 0;
ZeroCurve = intenvset('StartDates', Settle,'EndDates', ZeroDates, ... 'Rates', ZeroRates,'Compounding',Compounding,'Basis',Basis);
figure(1);
plot(ZeroDates, ZeroRates, '*-');
xlabel('Date');
datetick('keeplimits');
ylabel('Spot rate');
grid on;
title('Euro Area Spot Yield Curve al 22 Dicembre 2017');
%Calibrate Vasicek Model
alpha=0.01;
gamma=0.2;
sigma=0.03;
Tau=Tenor;
r0=ZeroRates(1);
Spot_Rate=ZeroRates';
R_vasicek=ZeroRatesVas(alpha,gamma,sigma,r0,Tau)';
X0=[alpha gamma sigma];
FUN=@(x) sum((ZeroRatesVas(x(1),x(2),x(3),r0,Tau)-Spot_Rate).^2);
xfinale=fminsearch(FUN,X0);
R_vasicek1=ZeroRatesVas(xfinale(1),xfinale(2),xfinale(3),r0,Tau)';
figure(2);
plot(Tau,R_vasicek1,'k',Tau,Spot_Rate,'r');
xlabel('Time to maturity');
ylabel('Rate');
legend('Vasicek Rate','Spot Rate','Location','southeast');
title('Vaiscek Model vs Zero Rate Curve')
% Setup Hull-White Single Factor Model
Alpha=xfinale(1);
Sigma=xfinale(3);
hw1 = HullWhite1F(ZeroCurve,Alpha,Sigma);
% Set Changeable Simulation Parameters
% Number of Monte Carlo simulations
numScenarios = 1000;
% Compute half-yearly simulation dates.
SimulationDates = datemnth(Settle,0:6:366,0,0,1)';
numDates = numel(SimulationDates);
%Compute Floating Reset Dates for each simulation date
ResetDates = cfdates(Settle-180,SwapPort.Maturity,SwapPort.Period);
SwapPort.FloatingResetDates = zeros(numSwaps,numDates);
for i = numDates:-1:1
thisDate = SimulationDates(i);
ResetDates(ResetDates > thisDate) = 0;
SwapPort.FloatingResetDates(:,i) = max(ResetDates,[],2);
end
% simulate the future interest rate curve at each valuation date using the Hull-White one-factor interest rate model.
prevRNG = rng(0, 'twister'); dt = diff(yearfrac(Settle,SimulationDates,2)); nPeriods = numel(dt); scenarios = hw1.simTermStructs(nPeriods, ... 'nTrials',numScenarios, ... 'deltaTime',dt);
% Restore random number generator state
rng(prevRNG);
%Inspect a Scenario (n.100)
j = 100; figure(3); surf(Tenor, SimulationDates, scenarios(:,:,j)) axis tight datetick('y','mmmyy'); xlabel('Tenor (Years)'); ylabel('Scenarios'); zlabel('Rates'); ax = gca; ax.View = [-49 32]; title(sprintf('Scenario %d Yield Curve Evolution\n',j));
% Compute Mark to Market Swap Prices
values = hcomputeMTMValues(SwapPort,SimulationDates,scenarios,Tenor);

[Peter Meglis]

Flavia,

I tried reproducing the issue but was unable to do it due to some functions not being recognized. Is there more code to this?

Have you tried making sure the function is on your path? https://www.mathworks.com/matlabcentral/answers/87989-where-can-i-find-the-code-for-the-function-hcomputemtmvalues-in-http-www-mathworks-in-help-finin

You can use

which -all hcomputeMTMValues

to find where the function is located.

Answer 1

[Sharon He]

Hi Flavia,

As Peter has mentioned, type the following code in the Matlab command line:

which -all hcomputeMTMValues

For me, I got

E:\bat\archive\R2018a\perfect\matlab\toolbox\fininst\fininstdemos\hcomputeMTMValues.m

Then add it to the path by typing:

addpath('E:\bat\archive\R2018a\perfect\matlab\toolbox\fininst\fininstdemos\hcomputeMTMValues.m')

Thanks,

Sharon