Main Content

Intenvsens

Instrument price and sensitivities from set of zero curves

所有的页面崩溃

Syntax

[Delta,Gamma,Price] = intenvprice(RateSpecInstSet)

Description

example

[Delta,Gamma,Price] = IntenVprice（RatesspecInstset)计算使用零息债券率结构的仪器的美元价格和价格敏感性。

Intenvsenshandles the following instrument types:'纽带','CashFlow','Fixed','Float','Swap'。看instaddfor information about constructing defined types.

Examples

collapse all

Open Live Script

Load the tree and instruments from thederiv.matdata file and useintenvpriceto compute dollar prices and sensitivities for instruments that use a zero coupon bond rate structure.

loadderiv.matinstdisp(ZeroInstSet)
Index Type CouponRate Settle Maturity Period Basis EndMonthRule IssueDate FirstCouponDate LastCouponDate StartDate Face Name Quantity 1 Bond 0.04 01-Jan-2000 01-Jan-2003 1 NaN NaN NaN NaN NaN NaN NaN 4% bond 100 2 Bond 0.04 01-Jan-2000 01-Jan-2004 2 NaN NaN NaN NaN NaN NaN NaN 4% bond 50 Index Type CouponRate Settle Maturity FixedReset Basis Principal Name Quantity 3 Fixed 0.04 01-Jan-2000 01-Jan-2003 1 NaN NaN 4% Fixed 80 Index Type Spread Settle Maturity FloatReset Basis Principal Name Quantity 4 Float 20 01-Jan-2000 01-Jan-2003 1 NaN NaN 20BP Float 8 Index Type LegRate Settle Maturity LegReset Basis Principal LegType Name Quantity 5 Swap [0.06 20] 01-Jan-2000 01-Jan-2003 [1 1] NaN NaN [NaN] 6%/20BP Swap 10
[Delta,Gamma] = intenvsens(ZeroRateSpec,ZeroInstSet)
Delta =5×1-272.6403 -347.4386 -272.6403 -1.0445 -282.0405
Gamma =5×1103× 1.0298 1.6227 1.0298 0.0033 1.0596

Input Arguments

collapse all

(Optional) Interest-rate specification, specified by theRatesspecobtained previously fromintenvset或者toRateSpecfor anIRDataCurve或者toRateSpecfor anIRFunctionCurve。

Data Types:struct

仪器变量包含一系列仪器，使用instadd。Instruments are categorized by type; each type can have different data fields. The stored data field is a row vector or character vector for each instrument.

Data Types:struct

Output Arguments

collapse all

Rate of change of instrument prices with respect to shifts in the observed zero curve, returned as a number of instruments (Ninst)的数量曲线(NUMCURVES) matrix.Delta由有限差异计算。

Note

Deltasensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price.

Rate of change of instrument deltas with respect to shifts in the observed zero curve, returned as a number of instruments (Ninst)的数量曲线(NUMCURVES) matrix.Gamma由有限差异计算。

Note

Gammasensitivities are returned as dollar sensitivities. To find the per-dollar sensitivities, divide by the respective instrument price.

Prices of each instrument, returned as a number of instruments (Ninst)的数量曲线(NUMCURVES) matrix. If an instrument cannot be priced, aNaN在该条目中返回。

中on History

Introduced before R2006a

看Also

||||

Topics