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# cfbyzero

Price cash flows from set of zero curves

## Syntax

``Price = cfbyzero(RateSpec,CFlowAmounts,CFlowDates,Settle)``
``Price = cfbyzero(___,Basis)``

## Description

example

````Price = cfbyzero(RateSpec,CFlowAmounts,CFlowDates,Settle)` prices cash flows from a set of zero curves.```

example

````Price = cfbyzero(___,Basis)` adds an optional argument.```

## Examples

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This example shows how to price a portfolio containing two cash flow instruments paying interest annually over the four-year period from January 1, 2000 to January 1, 2004. Load the file `deriv.mat`, which provides `ZeroRateSpec`. The `ZeroRateSpec` structure contains the interest-rate information needed to price the instruments.

```load deriv.mat CFlowAmounts =[5 NaN 5.5 105;5 0 6 105]; CFlowDates = [730852, NaN, 731582,731947; 730852, 731217, 731582, 731947]; Settle = 730486; Price = cfbyzero(ZeroRateSpec, CFlowAmounts, CFlowDates, Settle)```
```Price = 2×1 96.7804 97.2187 ```

## Input Arguments

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Annualized zero rate term structure, specified by the `RateSpec` obtained from `intenvset`. For information on the interest-rate specification, see `intenvset`.

Data Types: `struct`

Cash flow amounts, specified as a Number of instruments (`NINST`) by maximum number of cash flows (`MOSTCFS`) matrix of cash flow amounts. 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`

Cash flow dates, specified as `NINST`-by-`MOSTCFS` matrix. Each entry contains the serial date number of the corresponding cash flow in `CFlowAmounts`.

Data Types: `double`

Settlement date on which the cash flows are priced, specified using a scalar or `NINST`-by-`1` vector of serial date numbers or date character vectors of the same value which represent the settlement date for each cash flow. `Settle` must be earlier than `Maturity`.

Data Types: `double` | `char`

(Optional) Day-count basis of the instrument, specified as a vector of integers.

• 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`

## Output Arguments

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Cash flow prices, returned as a `NINST`-by-`NUMCURVES` matrix where each column arises from one of the zero curves.

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