instcap
Construct cap instrument
Syntax
Description
Examples
Create Two Cap Instruments
Create a new instrument variable with the following information:
Strike = [0.035; 0.045]; Settle= datetime(2013,1,1); Maturity = datetime(2043,1,1); Reset = 1; Basis = 1; Principal = 1000;
Create the new cap instruments.
InstSet = instcap(Strike, Settle, Maturity, Reset, Basis, Principal)
InstSet = struct with fields:
FinObj: 'Instruments'
IndexTable: [1x1 struct]
Type: {'Cap'}
FieldName: {{1x1 cell}}
FieldClass: {{1x1 cell}}
FieldData: {{1x1 cell}}
Display the cap instruments.
instdisp(InstSet)
Index Type Strike Settle Maturity CapReset Basis Principal 1 Cap 0.035 01-Jan-2013 01-Jan-2043 1 1 1000 2 Cap 0.045 01-Jan-2013 01-Jan-2043 1 1 1000
Input Arguments
InstSet
— Instrument variable
structure
Instrument variable, specified only when adding Cap instruments to an existing
instrument set. For more information on the InstSet
variable, see
instget
.
Data Types: struct
Strike
— Rate at which cap is exercised
decimal
Rate at which the Cap is exercised, specified as a scalar or an
NINST
-by-1
vector of decimal values.
Data Types: double
Settle
— Settlement dates
datetime array | string array | date character vector
Settlement dates, specified as scalar or an
NINST
-by-1
vector using a datetime array, string
array, or date character vectors.
Note
Settle
must be earlier than
Maturity
.
To support existing code, instcap
also
accepts serial date numbers as inputs, but they are not recommended.
Maturity
— Maturity dates
datetime array | string array | date character vector
Maturity dates, specified as scalar or an
NINST
-by-1
vector using a datetime array, string
array, or date character vectors.
To support existing code, instcap
also
accepts serial date numbers as inputs, but they are not recommended.
CapReset
— Reset frequency payment per year
1
(default) | numeric
(Optional) Reset frequency payment per year, specified as a scalar or an
NINST
-by-1
vector.
Data Types: double
Basis
— Day-count basis
0
(actual/actual) (default) | integer from 0
to 13
(Optional) Day-count basis, specified as scalar or an
NINST
-by-1
vector.
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
Principal
— Notional principal amount
100
(default) | numeric
(Optional) Notional principal amount, specified as a scalar or an
NINST
-by-1
of notional principal amounts, or an
NINST
-by-1
cell array, where each element is a
NumDates
-by-2
cell array where the first column
is dates and the second column is associated principal amount. The date indicates the
last day that the principal value is valid.
Use Principal
to pass a schedule to compute the price for an
amortizing Cap.
Data Types: double
| cell
Output Arguments
InstSet
— Variable containing a collection of instruments
structure
Variable containing a collection of instruments, returned as a structure.
Instruments are broken down by type and each type can have different data fields. Each
stored data field has a row vector or string for each instrument. For more information
on the InstSet
variable, see instget
.
FieldList
— Name of each data field for Cap instrument
cell array of character vectors
Name of each data field for a Cap instrument, returned as an
NFIELDS
-by-1
cell array of character
vectors.
ClassList
— Data class for each field
cell array of character vectors
Data class for each field, returned as an
NFIELDS
-by-1
cell array of character vectors.
The class determines how arguments are parsed. Valid character vectors are
'dble'
, 'date'
, and 'char'
.
TypeString
— Type of instrument
character vector
Type of instrument, returned as a character vector. For a Cap option instrument,
TypeString = 'Cap'
.
More About
Cap
A cap is a contract that includes a guarantee that sets the maximum interest rate to be paid by the holder, based on an otherwise floating interest rate.
The payoff for a cap is:
For more information, see Cap.
Version History
Introduced before R2006aR2022b: Serial date numbers not recommended
Although instcap
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.
See Also
instbond
| instfloor
| instdisp
| instswap
| intenvprice
| instaddfield
| hjmprice
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