intenvset

Set properties of interest-rate structure

collapse all in page

Syntax

RateSpec = intenvset(Name,Value)
[RateSpec,RateSpecOld] = intenvset(RateSpec,Name,Value)
[RateSpec,RateSpecOld] = intenvset

Description

example

RateSpec = intenvset(Name,Value) creates an interest-rate term structure (RateSpec) where the input argument list is specified as name-value pairs.

Note

When creating a new RateSpec, the set of arguments passed to intenvset must include StartDates, EndDates, and either Rates or Disc.

example

[RateSpec,RateSpecOld] = intenvset(RateSpec,Name,Value) creates an interest-rate term structure (RateSpec) where the input argument list is specified as name-value pairs along with the optional argument RateSpec. If the optional argument RateSpec is specified, intenvset modifies the existing interest-rate term structure RateSpec by changing the named argument to the specified values and recalculating the arguments dependent on the new values.

example

[RateSpec,RateSpecOld] = intenvset creates an interest-rate term structure RateSpec with all fields set to [ ].

Examples

collapse all

Open Live Script

Use intenvset to create a RateSpec for a zero curve. 

RateSpec = intenvset('Rates', 0.05, 'StartDates',... 
'20-Jan-2000', 'EndDates', '20-Jan-2001')
RateSpec = struct with fields:
           FinObj: 'RateSpec'
      Compounding: 2
             Disc: 0.9518
            Rates: 0.0500
         EndTimes: 2
       StartTimes: 0
         EndDates: 730871
       StartDates: 730505
    ValuationDate: 730505
            Basis: 0
     EndMonthRule: 1

Now change the Compounding argument to 1 (annual). 

RateSpec = intenvset(RateSpec, 'Compounding', 1)
RateSpec = struct with fields:
           FinObj: 'RateSpec'
      Compounding: 1
             Disc: 0.9518
            Rates: 0.0506
         EndTimes: 1
       StartTimes: 0
         EndDates: 730871
       StartDates: 730505
    ValuationDate: 730505
            Basis: 0
     EndMonthRule: 1

Calling intenvset with no input or output arguments displays a list of argument names and possible values. 

intenvset
            Compounding: [ 0 | 1 | {2} | 3 | 4 | 6 | 12 | 365 | -1 ]
                   Disc: [ scalar | vector (NPOINTS x 1) ]
                  Rates: [ scalar | vector (NPOINTS x 1) ]
               EndDates: [ scalar | vector (NPOINTS x 1) ]
             StartDates: [ scalar | vector (NPOINTS x 1) ]
          ValuationDate: [ scalar ]
                  Basis: [ {0} | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 ]
           EndMonthRule: [ 0 | {1} ]
Open Live Script

Use intenvset to create a RateSpec for a forward curve. 

RateSpec = intenvset('Rates', 0.05, 'StartDates',... 
'20-Jan-2001', 'EndDates', '20-Jan-2002', 'ValuationDate','20-Jan-2000')
RateSpec = struct with fields:
           FinObj: 'RateSpec'
      Compounding: 2
             Disc: 0.9518
            Rates: 0.0500
         EndTimes: 4
       StartTimes: 2
         EndDates: 731236
       StartDates: 730871
    ValuationDate: 730505
            Basis: 0
     EndMonthRule: 1

Now change the Compounding argument to 1 (annual). 

RateSpec = intenvset(RateSpec, 'Compounding', 1)
RateSpec = struct with fields:
           FinObj: 'RateSpec'
      Compounding: 1
             Disc: 0.9518
            Rates: 0.0506
         EndTimes: 2
       StartTimes: 1
         EndDates: 731236
       StartDates: 730871
    ValuationDate: 730505
            Basis: 0
     EndMonthRule: 1
Open Live Script

Define data for the interest-rate term structure and use intenvset to create a RateSpec. 

StartDates = '01-Oct-2011'; 
EndDates = ['01-Oct-2012'; '01-Oct-2013';'01-Oct-2014';'01-Oct-2015'];
Rates = [[0.0356;0.041185;0.04489;0.047741],[0.0325;0.0423;0.0437;0.0465]];
RateSpec = intenvset('Rates', Rates, 'StartDates',StartDates,...
'EndDates', EndDates, 'Compounding', 1)
RateSpec = struct with fields:
           FinObj: 'RateSpec'
      Compounding: 1
             Disc: [4x2 double]
            Rates: [4x2 double]
         EndTimes: [4x1 double]
       StartTimes: [4x1 double]
         EndDates: [4x1 double]
       StartDates: 734777
    ValuationDate: 734777
            Basis: 0
     EndMonthRule: 1

To look at the Rates for the two interest-rate curves: 

RateSpec.Rates
ans = 4×2

    0.0356    0.0325
    0.0412    0.0423
    0.0449    0.0437
    0.0477    0.0465
Open Live Script

Price the following multi-stepped coupon bonds using the following data: 

Rates = [0.035; 0.042147; 0.047345; 0.052707];
ValuationDate = 'Jan-1-2010';
StartDates = ValuationDate;
EndDates = {'Jan-1-2011'; 'Jan-1-2012'; 'Jan-1-2013'; 'Jan-1-2014'};
Compounding = 1;

% Create RateSpec using intenvset
RS = intenvset('ValuationDate', ValuationDate, 'StartDates', StartDates,...
'EndDates', EndDates,'Rates', Rates, 'Compounding', Compounding);

% Create a portfolio of stepped coupon bonds with different maturities
Settle = '01-Jan-2010';
Maturity = {'01-Jan-2011';'01-Jan-2012';'01-Jan-2013';'01-Jan-2014'};
CouponRate = {{'01-Jan-2011' .042;'01-Jan-2012' .05; '01-Jan-2013' .06; '01-Jan-2014' .07}};

% Display the instrument portfolio 
ISet = instbond(CouponRate, Settle, Maturity, 1);
instdisp(ISet)
Index Type CouponRate Settle         Maturity       Period Basis EndMonthRule IssueDate FirstCouponDate LastCouponDate StartDate Face
1     Bond [Cell]     01-Jan-2010    01-Jan-2011    1      0     1            NaN       NaN             NaN            NaN       100 
2     Bond [Cell]     01-Jan-2010    01-Jan-2012    1      0     1            NaN       NaN             NaN            NaN       100 
3     Bond [Cell]     01-Jan-2010    01-Jan-2013    1      0     1            NaN       NaN             NaN            NaN       100 
4     Bond [Cell]     01-Jan-2010    01-Jan-2014    1      0     1            NaN       NaN             NaN            NaN       100

Build a BDTTree to price the stepped coupon bonds. Assume the volatility to be 10%

Sigma = 0.1; 
BDTTimeSpec = bdttimespec(ValuationDate, EndDates, Compounding);
BDTVolSpec = bdtvolspec(ValuationDate, EndDates, Sigma*ones(1, length(EndDates))');
BDTT = bdttree(BDTVolSpec, RS, BDTTimeSpec);

% Compute the price of the stepped coupon bonds
PBDT = bdtprice(BDTT, ISet)
PBDT = 4×1

  100.6763
  100.7368
  100.9266
  101.0115

Input Arguments

collapse all

(Optional) Interest-rate specification for initial rate curve, specified by the RateSpec obtained previously from intenvset or toRateSpec for an IRDataCurve or toRateSpec for an IRFunctionCurve.

Data Types: struct

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: RateSpec = intenvset('Rates',0.05,'StartDates','20-Jan-2001','EndDates','20-Jan-2002','ValuationDate','20-Jan-2000')

Rate at which the input zero rates were compounded when annualized, specified as the comma-separated pair consisting of 'Compounding' and a scalar integer value. The Compounding argument determines the formula for the discount factors (Disc):

  • Compounding = 0 for simple interest

    • Disc = 1/(1 + Z * T), where T is time in years and simple interest assumes annual times F = 1.

  • Compounding = 1, 2, 3, 4, 6, 12

    • Disc = (1 + Z/F)^(-T), where F is the compounding frequency, Z is the zero rate, and T is the time in periodic units, for example, T = F is one year.

  • Compounding = 365

    • Disc = (1 + Z/F)^(-T), where F is the number of days in the basis year and T is a number of days elapsed computed by basis.

  • Compounding = -1

    • Disc = exp(-T*Z), where T is time in years.

Data Types: double

Unit bond prices over investment intervals from StartDates (when the cash flow is valued) to EndDates (when the cash flow is received), specified as the comma-separated pair consisting of 'Disc' and a number of points (NPOINTS) by number of curves (NCURVES) matrix.

Data Types: double

Interest rates, specified as the comma-separated pair consisting of 'Rates' and a number of points (NPOINTS) by number of curves (NCURVES) matrix of decimal values. Rates can only contain negative decimal values if the resulting RateSpec is used with a Normal (Bachelier) model, shifted Black model, or a shifted SABR model.

Data Types: double

Maturity dates ending the interval to discount over, specified as the comma-separated pair consisting of 'EndDates' and a scalar or a NPOINTS-by-1 vector of serial date numbers or date character vectors.

Data Types: double | char | cell

Dates starting the interval to discount over, specified as the comma-separated pair consisting of 'StartDates' and a scalar or a NPOINTS-by-1 vector of serial date numbers or date character vectors. StartDates must be earlier than EndDates.

Data Types: double | char | cell

observation date of the investment horizons entered in StartDates and EndDates, specified as the comma-separated pair consisting of 'ValuationDate' and a specified as a scalar serial date number or date character vector.

Data Types: double | char

Day-count basis, specified as the comma-separated pair consisting of 'Basis' and a scalar integer value.

  • 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

End-of-month rule flag, specified as the comma-separated pair consisting of 'EndMonthRule' and a scalar integer with a value of 0 or 1. This rule applies only when EndDates is an end-of-month date for a month having 30 or fewer days.

  • 0 = Ignore rule, meaning that a bond coupon payment date is always the same numerical day of the month.

  • 1 = Set rule on, meaning that a bond coupon payment date is always the last actual day of the month.

Data Types: double

Output Arguments

collapse all

Interest-rate specification for initial rate curve, returned as a structure.

Properties of an interest-rate structure before the changes introduced by the call to intenvset, returned as a structure.

See Also

| |

Topics

Introduced before R2006a

Financial Instruments Toolbox Documentation

Support