cmsCashflows
Description
computes the cash flows for the underlying asset of a outCF
= cmsCashflows(InstrumentObject
,Settle
,CMSRateTimeTable
)CMS
or CMSNote
instrument
object.
Examples
Compute Cash Flows for CMS
Instrument
This example shows how to compute the cash flows for a CMS
instrument.
Create CMS
Instrument Object
Use fininstrument
to create a CMS
instrument object.
Settle = datetime(2022,9,15); Maturity = datetime(2028,9,15); CMSLegPeriod = 2; FixedLegPeriod = 2; CMSInstrument = fininstrument("CMS",Maturity=datetime(2028,9,15),CMSReferenceTenor=10,Reset=[CMSLegPeriod FixedLegPeriod],LegRate=[0 0.01],LegType=["cms" "fixed"],Name="CMS instrument")
CMSInstrument = CMS with properties: CMSReferenceReset: 2 CMSReferenceTenor: 10 LegRate: [0 0.0100] LegType: ["cms" "fixed"] Reset: [2 2] Basis: [0 0] Notional: 100 LatestFloatingRate: [NaN NaN] LatestCMSRate: NaN ResetOffset: [0 0] DaycountAdjustedCashFlow: [0 0] ProjectionCurve: [0x0 ratecurve] BusinessDayConvention: ["actual" "actual"] Holidays: NaT EndMonthRule: [1 1] StartDate: NaT Maturity: 15-Sep-2028 Name: "CMS instrument"
Compute Cash Flows
Create the CMSRateTimeTable
using cfdates
with Settle
and Matrurity
values.
Time = [Settle;cfdates(Settle,Maturity,CMSLegPeriod)'];
CMSRates = [0.0216 0.0216 0.0231 0.0246 0.0262 0.0279 ...
0.0295 0.0312 0.0327 0.0342 0.0354 0.0366 0.0377]';
CMSRateTimeTable = timetable(Time,CMSRates)
CMSRateTimeTable=13×1 timetable
Time CMSRates
___________ ________
15-Sep-2022 0.0216
15-Mar-2023 0.0216
15-Sep-2023 0.0231
15-Mar-2024 0.0246
15-Sep-2024 0.0262
15-Mar-2025 0.0279
15-Sep-2025 0.0295
15-Mar-2026 0.0312
15-Sep-2026 0.0327
15-Mar-2027 0.0342
15-Sep-2027 0.0354
15-Mar-2028 0.0366
15-Sep-2028 0.0377
Use cmsCashflows
to compute the cash flows for the CMS
instrument.
cmsCashflows(CMSInstrument,Settle,CMSRateTimeTable)
ans=13×2 timetable
Time Var1_RecCF Var1_PayCF
___________ __________ __________
15-Sep-2022 0 0
15-Mar-2023 1.08 -0.5
15-Sep-2023 1.155 -0.5
15-Mar-2024 1.23 -0.5
15-Sep-2024 1.31 -0.5
15-Mar-2025 1.395 -0.5
15-Sep-2025 1.475 -0.5
15-Mar-2026 1.56 -0.5
15-Sep-2026 1.635 -0.5
15-Mar-2027 1.71 -0.5
15-Sep-2027 1.77 -0.5
15-Mar-2028 1.83 -0.5
15-Sep-2028 1.885 -0.5
Compute Cash Flows for CMSNote
Instrument
This example shows how to compute the cash flows for a CMSNote
instrument.
Create CMSNote
Instrument Object
Use fininstrument
to create a CMSNote
instrument object.
Settle = datetime(2022,9,15); Maturity = datetime(2028,9,15); Period = 2; CMSNoteInstrument = fininstrument("CMSNote",Maturity=Maturity,CMSReferenceTenor=10,Period=Period,Name="CMSNote instrument")
CMSNoteInstrument = CMSNote with properties: CMSReferenceReset: 2 CMSReferenceTenor: 10 Spread: 0 InitialCouponPeriod: 0 InitialCouponRate: 0 Period: 2 Basis: 0 Principal: 100 LatestFloatingRate: NaN LatestCMSRate: NaN ResetOffset: 0 DaycountAdjustedCashFlow: 0 ProjectionCurve: [0x0 ratecurve] BusinessDayConvention: "actual" Holidays: NaT EndMonthRule: 1 StartDate: NaT Maturity: 15-Sep-2028 Name: "CMSNote instrument"
Compute Cash Flows
Create the CMSRateTimeTable
using cfdates
with Settle
and Matrurity
values.
Time = [Settle;cfdates(Settle,Maturity,Period)'];
CMSRates = [0.0216 0.0216 0.0231 0.0246 0.0262 0.0279 ...
0.0295 0.0312 0.0327 0.0342 0.0354 0.0366 0.0377]';
CMSRateTimeTable = timetable(Time,CMSRates)
CMSRateTimeTable=13×1 timetable
Time CMSRates
___________ ________
15-Sep-2022 0.0216
15-Mar-2023 0.0216
15-Sep-2023 0.0231
15-Mar-2024 0.0246
15-Sep-2024 0.0262
15-Mar-2025 0.0279
15-Sep-2025 0.0295
15-Mar-2026 0.0312
15-Sep-2026 0.0327
15-Mar-2027 0.0342
15-Sep-2027 0.0354
15-Mar-2028 0.0366
15-Sep-2028 0.0377
Use cmsCashflows
to compute the cash flows for the CMSNote
instrument.
cmsCashflows(CMSNoteInstrument,Settle,CMSRateTimeTable)
ans=13×1 timetable
Time Var1
___________ ______
15-Sep-2022 0
15-Mar-2023 1.08
15-Sep-2023 1.155
15-Mar-2024 1.23
15-Sep-2024 1.31
15-Mar-2025 1.395
15-Sep-2025 1.475
15-Mar-2026 1.56
15-Sep-2026 1.635
15-Mar-2027 1.71
15-Sep-2027 1.77
15-Mar-2028 1.83
15-Sep-2028 101.89
Input Arguments
InstrumentObject
— Instrument object
CMS
object | CMSNote
object
Settle
— Settlement date
datetime scalar | string scalar | date character vector
Settlement date, specified as a scalar datetime value, string, or date character
vector. The Settle
date must be before the
Maturity
date for the CMS
or
CMSNote
instrument.
If you use a date character vector or string, the format must be recognizable by
datetime
because the
Settle
property is stored as a datetime data type.
CMSRateTimeTable
— CMS rate timetable
timetable with two columns
CMS rate timetable, specified as CMSRateTimeTable
and a timetable
with the following columns:
Time
—NumCashFlows
-by-1
cash flow dates in datetime format in the first column of the timetableCMSRates
—NumCashFlows
-by-1
CMS rates in decimals
Data Types: timetable
Output Arguments
outCF
— Cash flow for underlying asset
timetable
Cash flow for underlying asset (InstrumentObject
), returned as
a timetable.
Note
To compute outCF
for float legs for a CMS instrument, you
must specify a ProjectionCurve
name-value argument when creating
the CMS
instrument
object.
Version History
Introduced in R2023a
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