instbond

Construct bond instrument

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Syntax

InstSet = instbond(CouponRate,Settle,Maturity)

InstSet = instbond(InstSet,CouponRate,Settle,Maturity)

InstSet = instbond(___,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate,StartDate,Face)

[FieldList,ClassList,TypeString] = instbond

Description

example

InstSet = instbond(CouponRate,Settle,Maturity) creates a new instrument set containing Bond instruments.

example

InstSet = instbond(InstSet,CouponRate,Settle,Maturity) adds Bond instruments to an existing instrument set.

example

InstSet = instbond(___,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate,StartDate,Face) adds optional arguments.

example

[FieldList,ClassList,TypeString] = instbond lists field meta-data for the Bond instrument.

Examples

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Create a Bond Instrument

Open Live Script

Create a new instrument variable with the following information:

CouponRate= [0.035;0.04];
Settle= 'Nov-1-2013'; 
Maturity = 'Nov-1-2014'; 
Period =1; 

InstSet = instbond(CouponRate, Settle, Maturity, ...
Period)

InstSet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'Bond'}
     FieldName: {{11x1 cell}}
    FieldClass: {{11x1 cell}}
     FieldData: {{11x1 cell}}

Display the instrument set.

instdisp(InstSet)

Index Type CouponRate Settle         Maturity       Period Basis EndMonthRule IssueDate FirstCouponDate LastCouponDate StartDate Face
1     Bond 0.035      01-Nov-2013    01-Nov-2014    1      0     1            NaN       NaN             NaN            NaN       100 
2     Bond 0.04       01-Nov-2013    01-Nov-2014    1      0     1            NaN       NaN             NaN            NaN       100

Input Arguments

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`InstSet` — Instrument variable
structure

Instrument variable, specified only when adding Bond instruments to an existing instrument set. For more information on the InstSet variable, see instget.

Data Types: struct

`CouponRate` — Coupon rate indicating the annual percentage rate
decimal

Coupon rate indicating the annual percentage rate, specified as an NINST-by-1 vector or an NINST-by-1 cell array of decimal annual rates, or decimal annual rate schedules. For the latter case of a variable coupon schedule, each element of the cell array is a NumDates-by-2 cell array, where the first column is dates and the second column is its associated rate. The date indicates the last day that the coupon rate is valid.

Data Types: double | cell

`Settle` — Settlement dates
serial date number | date character vector

Settlement dates, specified as scalar or an NINST-by-1 vector using serial date numbers or date character vectors.

Note

Settle must be earlier than Maturity.

Data Types: double | char

`Maturity` — Maturity dates
serial date number | date character vector

Maturity dates, specified as scalar or an NINST-by-1 vector using serial date numbers or date character vectors.

Data Types: double | char

`Period` — Coupons per year
`2` per year (default) | vector

(Optional) Coupons per year, specified as a scalar or an NINST-by-1 vector. Values for Period are 1, 2, 3, 4, 6, and 12.

Data Types: double

`Basis` — Day-count basis
`0` (actual/actual) (default) | integer from `0` to `13`

(Optional) Day-count basis, specified as scalar or an NINST-by-1 vector.

0 = actual/actual
1 = 30/360 (SIA)
2 = actual/360
3 = actual/365
4 = 30/360 (PSA)
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.

Data Types: double

`EndMonthRule` — End-of-month rule flag for generating dates when `Maturity` is end-of-month date for month having 30 or fewer days
`1` (in effect) (default) | nonnegative integer `[0,1]`

(Optional) End-of-month rule flag for generating dates when Maturity is an end-of-month date for a month having 30 or fewer days, specified as a scalar or a nonnegative integer [0, 1] using an NINST-by-1 vector.

0 = Ignore rule, meaning that a bond's coupon payment date is always the same numerical day of the month.
1 = Set rule on, meaning that a bond's coupon payment date is always the last actual day of the month.

Data Types: logical

`IssueDate` — Bond issue date
serial date number | date character vector

(Optional) Bond issue date, specified as a scalar or an NINST-by-1 vector using a serial date number or date character vector.

Data Types: double | char

`FirstCouponDate` — Irregular first coupon date
serial date number | date character vector

(Optional) Irregular first coupon date, specified as a scalar or an NINST-by-1 vector using a serial date number or date character vector.

When FirstCouponDate and LastCouponDate are both specified, FirstCouponDate takes precedence in determining the coupon payment structure. If you do not specify a FirstCouponDate, the cash flow payment dates are determined from other inputs.

Data Types: double | char

`LastCouponDate` — Irregular last coupon date
serial date number | date character vector

(Optional) Irregular last coupon date, specified as a scalar or an NINST-by-1 vector using a serial nonnegative date number or date character vector.

In the absence of a specified FirstCouponDate, a specified LastCouponDate determines the coupon structure of the bond. The coupon structure of a bond is truncated at the LastCouponDate, regardless of where it falls, and is followed only by the bond's maturity cash flow date. If you do not specify a LastCouponDate, the cash flow payment dates are determined from other inputs.

Data Types: double | char

`StartDate` — Forward starting date of payments
`Settle` date (default) | serial date number | date character vector

Forward starting date of payments (the date from which a bond cash flow is considered), specified as a scalar or an NINST-by-1 vector using serial date numbers or date character vectors.

If you do not specify StartDate, the effective start date is the Settle date.

Data Types: char | double

`Face` — Face value
`100` (default) | nonnegative value | cell array of nonnegative values

(Optional) Face or par value, specified as a scalar or an NINST-by-1 vector of nonnegative face values or an NINST-by-1 cell array of face values or face value schedules. For the latter case, each element of the cell array is a NumDates-by-2 cell array, where the first column is dates and the second column is its associated face value. The date indicates the last day that the face value is valid.

Data Types: cell | double

Output Arguments

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`InstSet` — Variable containing a collection of instruments
structure

Variable containing a collection of instruments, returned as a structure. Instruments are broken down by type and each type can have different data fields. Each stored data field has a row vector or string for each instrument. For more information on the InstSet variable, see instget.

`FieldList` — Name of each data field for Bond instrument
cell array of character vectors

Name of each data field for a Bond instrument, returned as an NFIELDS-by-1 cell array of character vectors.

`ClassList` — Data class for each field
cell array of character vectors

Data class for each field, returned as an NFIELDS-by-1 cell array of character vectors. The class determines how arguments are parsed. Valid character vectors are 'dble', 'date', and 'char'.

`TypeString` — Type of instrument
character vector

Type of instrument, returned as a character vector. For a Bond instrument, TypeString = 'Bond'.

Documentation

instbond

Syntax

Description

Examples

Create a Bond Instrument

Input Arguments

`InstSet` — Instrument variable
structure

`CouponRate` — Coupon rate indicating the annual percentage rate
decimal

`Settle` — Settlement dates
serial date number | date character vector

`Maturity` — Maturity dates
serial date number | date character vector

`Period` — Coupons per year
`2` per year (default) | vector

`Basis` — Day-count basis
`0` (actual/actual) (default) | integer from `0` to `13`

`EndMonthRule` — End-of-month rule flag for generating dates when `Maturity` is end-of-month date for month having 30 or fewer days
`1` (in effect) (default) | nonnegative integer `[0,1]`

`IssueDate` — Bond issue date
serial date number | date character vector

`FirstCouponDate` — Irregular first coupon date
serial date number | date character vector

`LastCouponDate` — Irregular last coupon date
serial date number | date character vector

`StartDate` — Forward starting date of payments
`Settle` date (default) | serial date number | date character vector

`Face` — Face value
`100` (default) | nonnegative value | cell array of nonnegative values

Output Arguments

`InstSet` — Variable containing a collection of instruments
structure

`FieldList` — Name of each data field for Bond instrument
cell array of character vectors

`ClassList` — Data class for each field
cell array of character vectors

`TypeString` — Type of instrument
character vector

See Also

Topics

Financial Instruments Toolbox Documentation

Support

Documentation

instbond

Syntax

Description

Examples

Create a Bond Instrument

Input Arguments

InstSet — Instrument variable structure

CouponRate — Coupon rate indicating the annual percentage rate decimal

Settle — Settlement dates serial date number | date character vector

Maturity — Maturity dates serial date number | date character vector

Period — Coupons per year 2 per year (default) | vector

Basis — Day-count basis 0 (actual/actual) (default) | integer from 0 to 13

EndMonthRule — End-of-month rule flag for generating dates when Maturity is end-of-month date for month having 30 or fewer days 1 (in effect) (default) | nonnegative integer [0,1]

IssueDate — Bond issue date serial date number | date character vector

FirstCouponDate — Irregular first coupon date serial date number | date character vector

LastCouponDate — Irregular last coupon date serial date number | date character vector

StartDate — Forward starting date of payments Settle date (default) | serial date number | date character vector

Face — Face value 100 (default) | nonnegative value | cell array of nonnegative values

Output Arguments

InstSet — Variable containing a collection of instruments structure

FieldList — Name of each data field for Bond instrument cell array of character vectors

ClassList — Data class for each field cell array of character vectors

TypeString — Type of instrument character vector

See Also

Topics

Financial Instruments Toolbox Documentation

Support

`InstSet` — Instrument variable
structure

`CouponRate` — Coupon rate indicating the annual percentage rate
decimal

`Settle` — Settlement dates
serial date number | date character vector

`Maturity` — Maturity dates
serial date number | date character vector

`Period` — Coupons per year
`2` per year (default) | vector

`Basis` — Day-count basis
`0` (actual/actual) (default) | integer from `0` to `13`

`EndMonthRule` — End-of-month rule flag for generating dates when `Maturity` is end-of-month date for month having 30 or fewer days
`1` (in effect) (default) | nonnegative integer `[0,1]`

`IssueDate` — Bond issue date
serial date number | date character vector

`FirstCouponDate` — Irregular first coupon date
serial date number | date character vector

`LastCouponDate` — Irregular last coupon date
serial date number | date character vector

`StartDate` — Forward starting date of payments
`Settle` date (default) | serial date number | date character vector

`Face` — Face value
`100` (default) | nonnegative value | cell array of nonnegative values

`InstSet` — Variable containing a collection of instruments
structure

`FieldList` — Name of each data field for Bond instrument
cell array of character vectors

`ClassList` — Data class for each field
cell array of character vectors

`TypeString` — Type of instrument
character vector