cfprice
Compute price for cash flow given yield to maturity
Description
computes a price given yield for a cash flow.Price
= cfprice(CFlowAmounts
,CFlowDates
,Yield
,Settle
)
specifies options using one or more name-value pair arguments in addition to the
input arguments in the previous syntax. Price
= cfprice(___,Name,Value
)
Examples
Compute the Price for a Cash Flow Given Yield to Maturity
Use cfprice
to compute the price for a cash flow given yield to maturity.
Define data for the yield curve.
Settle = datetime(2003,7,1); Yield = .05; CFAmounts = [30;40;30]; CFDates = [datetime(2004,7,15) ; datetime(2005,7,15) ; datetime(2006,7,15)];
Compute the Price
.
Price = cfprice(CFAmounts, CFDates, Yield, Settle)
Price = 3×1
28.4999
36.1689
25.8195
Input Arguments
CFlowAmounts
— Cash flow amounts
vector
Cash flow amounts, specified as an
NINST
-by-MOSTCFS
matrix. Each row
is a list of cash flow values for one instrument. If an instrument has fewer
than MOSTCFS
cash flows, the end of the row is padded
with NaN
s.
Data Types: double
CFlowDates
— Cash flow dates
datetime array | string array | date character vector
Cash flow dates, specified as an
NINST
-by-MOSTCFS
matrix using a
datetime array, string array, or date character vectors. Each entry contains
the date of the corresponding cash flow in
CFlowAmounts
.
To support existing code, cfprice
also
accepts serial date numbers as inputs, but they are not recommended.
Data Types: char
| string
| datetime
Yield
— Yields
vector
Yields specified as an NINST
-by-1
vector.
Data Types: double
Settle
— Settlement date
datetime array | string array | date character vector
Settlement date, specified as an
NINST
-by-1
vector using a datetime
array, string array, or date character vectors. The
Settle
date is the date on which the cash flows are
priced.
To support existing code, cfprice
also
accepts serial date numbers as inputs, but they are not recommended.
Data Types: char
| string
| datetime
Name-Value Arguments
Specify optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where Name
is
the argument name and Value
is the corresponding value.
Name-value arguments must appear after other arguments, but the order of the
pairs does not matter.
Before R2021a, use commas to separate each name and value, and enclose
Name
in quotes.
Example: Price =
cfprice(CFlowAmounts,CFlowDates,Yield,Settle,'Basis',4,'CompoundingFrequency',4)
Note
An optional input of size NINST
-by-1
is
also acceptable as a single value applicable to all contracts. Single values are
internally expanded to an array of size
NINST
-by-1
.
Basis
— Day-count basis
0
(actual/actual) (default) | positive integers of the set [1...13]
| vector of positive integers of the set
[1...13]
Day-count basis, specified as the comma-separated pair consisting of
'Basis'
and a positive integer using a
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
CompoundingFrequency
— Compounding frequency
SIA bases (0
–
7
) and BUS/252
use
2
, ICMA bases (8
–
12
) use 1
(default) | integer with value of 1
, 2
,
3
, 4
, 6
, or
12
Compounding frequency for yield calculation, specified as the
comma-separated pair consisting of
'CompoundingFrequency'
and a scalar or a
NUMBONDS
-by-1
or
1
-by-NUMBONDS
vector.
1
— Annual compounding2
— Semiannual compounding3
— Compounding three times per year4
— Quarterly compounding6
— Bimonthly compounding12
— Monthly compounding
Note
By default, SIA bases (0
–
7
) and BUS/252
use a
semiannual compounding convention and ICMA bases
(8
– 12
) use an annual
compounding convention.
Data Types: double
Output Arguments
Price
— Price of cash flows
vector
Price of cash flows, returned as an
NINST
-by-1
vector.
Version History
Introduced in R2012aR2022b: Serial date numbers not recommended
Although cfprice
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.
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