instcap

Construct cap instrument

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Syntax

InstSet = instcap(Strike,Settle,Maturity,Reset,Basis,Principal)
InstSet = instcap(InstSet,Strike,Settle,Maturity,CapReset,Basis,Principal)
[FieldList,ClassList,TypeString] = instcap

Arguments

InstSet

Instrument variable. This argument is specified only when adding cap instruments to an existing instrument set. See instget for more information on the InstSet variable.

Strike

Rate at which the cap is exercised, as a decimal number.

Settle

Settlement date. Serial date number representing the settlement date of the cap.

Maturity

Serial date number representing the maturity date of the cap.

CapReset

(Optional) NINST-by-1 vector representing the frequency of payments per year. Default = 1.

Basis

(Optional) Day-count basis of the instrument. A vector of integers.

  • 0 = actual/actual (default)

  • 1 = 30/360 (SIA)

  • 2 = actual/360

  • 3 = actual/365

  • 4 = 30/360 (BMA)

  • 5 = 30/360 (ISDA)

  • 6 = 30/360 (European)

  • 7 = actual/365 (Japanese)

  • 8 = actual/actual (ICMA)

  • 9 = actual/360 (ICMA)

  • 10 = actual/365 (ICMA)

  • 11 = 30/360E (ICMA)

  • 12 = actual/365 (ISDA)

  • 13 = BUS/252

For more information, see Basis.

Principal

(Optional) NINST-by-1 of notional principal amounts or NINST-by-1 cell array where each element is a NumDates-by-2 cell array where the first column is dates and the second column is associated principal amount. The date indicates the last day that the principal value is valid. Default is 100.

Description

InstSet = instcap(Strike,Settle,Maturity,Reset,Basis,Principal) creates a new instrument set containing cap instruments.

InstSet = instcap(InstSet,Strike,Settle,Maturity,CapReset,Basis,Principal) adds cap instruments to an existing instrument set.

[FieldList,ClassList,TypeString] = instcap displays the classes.

FieldList is a number of fields (NFIELDS-by-1) cell array of character vectors listing the name of each data field for this instrument type.

ClassList is an NFIELDS-by-1 cell array of character vectors listing the data class of each field. The class determines how arguments are parsed. Valid character vectors are 'dble', 'date', and 'char'.

TypeString is a character vector specifying the type of instrument added. For a cap instrument, TypeString = 'Cap'.

Note

Use the optional argument, Principal, to pass a schedule for an amortizing cap.

Examples

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Open Live Script

Create a new instrument variable with the following information:

Strike = [0.035; 0.045];
Settle= 'Jan-1-2013'; 
Maturity = 'Jan-1-2014'; 
Reset = 1;
Basis = 1;
Principal = 1000;

Create the new cap instruments. 

InstSet = instcap(Strike, Settle, Maturity, Reset, Basis, Principal)
InstSet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'Cap'}
     FieldName: {{6x1 cell}}
    FieldClass: {{6x1 cell}}
     FieldData: {{6x1 cell}}

Display the cap instruments. 

instdisp(InstSet)
Index Type Strike Settle         Maturity       CapReset Basis Principal
1     Cap  0.035  01-Jan-2013    01-Jan-2014    1        1     1000     
2     Cap  0.045  01-Jan-2013    01-Jan-2014    1        1     1000

See Also

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Topics

Introduced before R2006a

Financial Instruments Toolbox Documentation
Support