%% Price Overnight Indexed Swap Instrument Using ratecurve and Discount Pricer
% This example shows the workflow to price an OvernightIndexedSwap instrument when you use a ratecurve object and a Discount pricing method.
%% Create ratecurve Object
% Create a ratecurve object using ratecurve for the underlying interest-rate curve for the OvernightIndexedSwap instrument.

Settle = datetime(2019,9,15);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)

%% Create OvernightIndexedSwap Instrument Object
% Use fininstrument to create an OvernightIndexedSwap instrument object.

OvernightIndexedSwap = fininstrument("OvernightIndexedSwap",'Maturity',datetime(2022,9,15),'LegRate',[0.022 0.019 ],'LegType',["float","fixed"],'Notional',100,'ProjectionCurve',myRC,'Name',"overnight_swap_instrument")

%% Create Discount Pricer Object
% Use finpricer to create a Discount pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("Discount", 'DiscountCurve',myRC)

%% Price OvernightIndexedSwap Instrument
% Use price to compute the price and sensitivities for the OvernightIndexedSwap instrument.

[Price, outPR] = price(outPricer,OvernightIndexedSwap,["all"])
outPR.Results

% Copyright 2021 The MathWorks, Inc.