Amortizing Swap error Valuation Matlab 2012a

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Javier
Javier 2012년 9월 1일
Hello all
I test the swapbyzero function in Matlab R2012a and find an error compared with Matlab R2009b. The old version do a correct valutaion for amortizing swaps, while the new version do it wrong.
1)RateStructure and Specification
StartDate='01-Jun-2005';
EndDates=['02-Jun-2005';'03-Jun-2005';'06-Jun-2005';'10-Jun-2005' ...
;'01-Jul-2005';'01-Aug-2005';'01-Sep-2005';'01-Oct-2005';'01-Nov-2005';'01-Dec-2005' ...
;'01-Jan-2006';'01-Feb-2006';'01-Mar-2006';'01-Apr-2006';'01-May-2006';'01-Jun-2006' ...
;'01-Jun-2007';'01-Jun-2008';'01-Jun-2009';'01-Jun-2010'];
Rates=[0.0208;0.0208;0.0208;0.0209;0.0209;0.021;ones(10,1)*0.0215;0.0227;0.02441;0.02608;0.02764];
RateSpec=intenvset('Rates',Rates,'StartDates',StartDate,'EndDates',EndDates,'Compounding',1,'Basis',0);
2)Swap Characteristics
Settle='01-Jun-2005'; %Settle in one year from now
Maturity='01-Jun-2009';
Basis=[6 2]; %30/360 for fixed and act/360 for variable
Principal ={{'01-Jun-2006' 10000000;'01-Jun-2007' 8000000;'01-Jun-2008' 6000000;'01-Jun-2009' 4000000}};
LegRate=[NaN 0]; %Present value of swap is zero and spread zero.
LegType=[1 0]; %Fixed=1 and Float=0;
LegReset=[1 2]; %Annual for fixed and semiannual for floating.
3)Pricing
[Price, SwapRate] = swapbyzero(RateSpec, LegRate, Settle,...
Maturity, LegReset, Basis, Principal, LegType) ;
The correct answer is closet to 2.6.
This is the output of an exercise done in "Manual de Instrumentos Derivados" Autor: Roberto Knop 2005 page 204-205.

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