inflationCashflows

Compute cash flows for ZeroCouponInflationSwap instrument

Since R2021a

Syntax

outCF = inflationCashflows(inpInstrumentObject,Settle,inpInflationCurve)

Description

outCF = inflationCashflows(inpInstrumentObject,Settle,inpInflationCurve) computes cash flows for a ZeroCouponInflationSwap instrument object.

Examples

Price Zero-Coupon Inflation Swap Instrument Using inflationcurve and Inflation Pricer and Compute Cash Flow

This example shows the workflow to price a ZeroCouponInflationSwap instrument when you use an inflationcurve object and an Inflation pricing method. Then use inflationCashflows to compute the cash flow for the ZeroCouponInflationSwap instrument.

Create ratecurve Object

Create a ratecurve object using ratecurve.

Settle = datetime(2021,1,15);
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;
ZeroCurve = ratecurve('zero',Settle,ZeroDates,ZeroRates)

ZeroCurve = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Jan-2021
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create inflationcurve Object

Create an inflationcurve object using inflationcurve.

BaseDate = datetime(2020, 10, 1);
InflationTimes = [0 calyears([1 2 3 4 5 7 10 20 30])]';
InflationIndexValues = [100 102 103.5 105 106.8 108.2 111.3 120.1 130.4 150.2]';
InflationDates = BaseDate + InflationTimes;
myInflationCurve = inflationcurve(InflationDates,InflationIndexValues)

myInflationCurve = 
  inflationcurve with properties:

                    Basis: 0
                    Dates: [10x1 datetime]
     InflationIndexValues: [10x1 double]
    ForwardInflationRates: [9x1 double]
              Seasonality: [12x1 double]

Create ZeroCouponInflationSwap Instrument Object

Use fininstrument to create a ZeroCouponInflationSwap instrument object.

StartDate = datetime(2021,1,1);
Maturity = datetime(2022,10,1);
FixedInflationRate = 0.015;
Notional = 2000;

ZCInflationSwap = fininstrument("ZeroCouponInflationSwap",'StartDate',StartDate,'Maturity',Maturity,'FixedInflationRate',FixedInflationRate,'Notional',Notional,'Name',"zero_coupon_inflation_swap_instrument")

ZCInflationSwap = 
  ZeroCouponInflationSwap with properties:

              Notional: 2000
    FixedInflationRate: 0.0150
                 Basis: 0
                   Lag: 3
            IssueIndex: NaN
             StartDate: 01-Jan-2021
              Maturity: 01-Oct-2022
                  Name: "zero_coupon_inflation_swap_instrument"

Create Inflation Pricer Object

Use finpricer to create an Inflation pricer object and use the ratecurve object with the 'DiscountCurve' name-value pair argument and the inflationcurve object with the 'InflationCurve' name-value pair argument.

outPricer = finpricer("Inflation",'DiscountCurve',ZeroCurve,'InflationCurve',myInflationCurve)

outPricer = 
  Inflation with properties:

     DiscountCurve: [1x1 ratecurve]
    InflationCurve: [1x1 inflationcurve]

Price ZeroCouponInflationSwap Instrument

Use price to compute the price and sensitivities for the ZeroCouponInflationSwap instrument.

[Price,outPR] = price(outPricer,ZCInflationSwap,"all")

Price = 
9.5675

outPR = 
  priceresult with properties:

       Results: [1x1 table]
    PricerData: []

outPR.Results

ans=table
    Price 
    ______

    9.5675

Compute Cash Flow for ZeroCouponInflationSwap Instrument

Use inflationCashflows to compute the cash flow for the ZeroCouponInflationSwap instrument.

outCF = inflationCashflows(ZCInflationSwap,datetime(2021,1,1),myInflationCurve)

outCF=1×2 timetable
       Time         Var1       Var2 
    ___________    _______    ______

    01-Oct-2022    -52.732    62.397

Price Multiple Zero-Coupon Inflation Swap Instruments Using inflationcurve and Inflation Pricer and Compute Cash Flow

This example shows the workflow to price multiple ZeroCouponInflationSwap instruments when you use an inflationcurve object and an Inflation pricing method. Then use inflationCashflows to compute the cash flow for the ZeroCouponInflationSwap instruments.

Create ratecurve Object

Create a ratecurve object using ratecurve.

Settle = datetime(2021,12,15);
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;
ZeroCurve = ratecurve('zero',Settle,ZeroDates,ZeroRates)

ZeroCurve = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Dec-2021
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create inflationcurve Object

Create an inflationcurve object using inflationcurve.

BaseDate = datetime(2020, 10, 1);
InflationTimes = [0 calyears([1 2 3 4 5 7 10 20 30])]';
InflationIndexValues = [100 102 103.5 105 106.8 108.2 111.3 120.1 130.4 150.2]';
InflationDates = BaseDate + InflationTimes;
myInflationCurve = inflationcurve(InflationDates,InflationIndexValues)

myInflationCurve = 
  inflationcurve with properties:

                    Basis: 0
                    Dates: [10x1 datetime]
     InflationIndexValues: [10x1 double]
    ForwardInflationRates: [9x1 double]
              Seasonality: [12x1 double]

Create ZeroCouponInflationSwap Instrument Object

Use fininstrument to create a ZeroCouponInflationSwap instrument object for three Zero-Coupon Inflation Swap instruments.

StartDate = datetime([2021,5,1 ; 2021,6,1 ; 2021,7,1]);
Maturity = datetime([2022,10,1 ; 2022,11,1 ;2022,12,1]);
FixedInflationRate = 0.015;
Notional = [20000 ; 30000 ; 40000];

ZCInflationSwap = fininstrument("ZeroCouponInflationSwap",'StartDate',StartDate,'Maturity',Maturity,'FixedInflationRate',FixedInflationRate,'Notional',Notional,'Name',"zero_coupon_inflation_swap_instrument")

ZCInflationSwap=3×1 ZeroCouponInflationSwap array with properties:
    Notional
    FixedInflationRate
    Basis
    Lag
    IssueIndex
    StartDate
    Maturity
    Name

Create Inflation Pricer Object

Use finpricer to create an Inflation pricer object and use the ratecurve object with the 'DiscountCurve' name-value pair argument and the inflationcurve object with the 'InflationCurve' name-value pair argument.

outPricer = finpricer("Inflation",'DiscountCurve',ZeroCurve,'InflationCurve',myInflationCurve)

outPricer = 
  Inflation with properties:

     DiscountCurve: [1x1 ratecurve]
    InflationCurve: [1x1 inflationcurve]

Price ZeroCouponInflationSwap Instruments

Use price to compute the prices and sensitivities for the ZeroCouponInflationSwap instruments.

[Price,outPR] = price(outPricer,ZCInflationSwap,"all")

Price = 3×1

   59.4576
   80.6037
   89.4137

outPR=1×3 priceresult array with properties:
    Results
    PricerData

outPR.Results

ans=table
    Price 
    ______

    59.458

ans=table
    Price 
    ______

    80.604

ans=table
    Price 
    ______

    89.414

Compute Cash Flow for ZeroCouponInflationSwap Instruments

Use inflationCashflows to compute the cash flow for the ZeroCouponInflationSwap instruments.

outCF = inflationCashflows(ZCInflationSwap(1),datetime(2022,1,1),myInflationCurve)

outCF=1×2 timetable
       Time         Var1      Var2 
    ___________    _______    _____

    01-Oct-2022    -427.09    486.8

outCF = inflationCashflows(ZCInflationSwap(2),datetime(2022,1,1),myInflationCurve)

outCF=1×2 timetable
       Time         Var1       Var2 
    ___________    _______    ______

    01-Nov-2022    -640.63    721.62

outCF = inflationCashflows(ZCInflationSwap(3),datetime(2022,1,1),myInflationCurve)

outCF=1×2 timetable
       Time         Var1       Var2 
    ___________    _______    ______

    01-Dec-2022    -854.18    944.06

Input Arguments

inpInstrumentObject — Instrument object

ZeroCouponInflationSwap object

Instrument object, specified using a previously created instrument object for a ZeroCouponInflationSwap.

Note

If the inpInstrumentObject is a vector of instruments, you must use inflationCashflows separately with each instrument.

Data Types: object

Settle — Settlement date for instrument cash flow

datetime scalar | string scalar | date character vector

Settlement date for instrument cash flow, specified as a scalar datetime, string, or date character vector.

Note

The Settle date you specify must be before the Maturity date for the ZeroCouponInflationSwap instrument.

To support existing code, inflationCashflows also accepts serial date numbers as inputs, but they are not recommended.

inpInflationCurve — Inflation curve

inflationcurve object

Inflation curve, specified using a previously created inflation curve object using inflationcurve.

Data Types: object

Output Arguments

outCF — Output cash flow

timetable

Output cash flow, returned as a timetable.

Version History

Introduced in R2021a

R2022b: Serial date numbers not recommended

Although inflationCashflows supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.