OISFuture

OISFuture instrument object

Since R2021b

Description

Create and price an OISFuture instrument object for one or more one-month or three-month future instruments using this workflow:

1. Use fininstrument to create an OISFuture instrument object for one or more OIS Future instruments.

2. Use ratecurve to specify an interest-rate model for the OISFuture instrument object.

3. Use finpricer to specify a Discount pricing method for one or more OISFuture instruments.

Create an OISFuture instrument object for one or more OIS futures instruments to use in curve construction using this workflow:

1. Use fininstrument to create an OISFuture instrument object for one or more OIS future instruments.

2. Use irbootstrap to create an interest-rate curve (ratecurve) for one or more OISFuture instruments.

For more information on these workflows, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

For more information on the available models and pricing methods for an OISFuture instrument, see Choose Instruments, Models, and Pricers.

Creation

Syntax

OISFutureInst = fininstrument(InstrumentType,QuotedPrice=OIS_quoted_price,Maturity=maturity_date,StartDate=start_date)

OISFutureInst = fininstrument(___,Name=Value)

Description

OISFutureInst = fininstrument(InstrumentType,QuotedPrice=OIS_quoted_price,Maturity=maturity_date,StartDate=start_date) creates an OISFuture instrument object for one or more OIS future instruments by specifying InstrumentType, QuotedPrice, Maturity, and StartDate.

The OISFuture instrument supports many alternative reference rate (ARR) securities that are compliant with standards from the International Organization of Securities Commissions (IOSCO). For example, ARRs like SOFR, EONIA, SONIA, SARON, and TONAR focus on risk-free rate or near risk-free rates based on transactions of overnight funding.

OISFutureInst = fininstrument(___,Name=Value) sets optional properties using additional name-value arguments in addition to the required arguments in the previous syntax. For example, OISFutureInst = fininstrument("OISFuture",QuotedPrice=99.5,Maturity=datetime(2022,12,15),StartDate=datetime(2022,9,15)) creates an OIS future instrument. You can specify multiple name-value arguments.

Input Arguments

InstrumentType — Instrument type

string with value "OISFuture" | string array with values of "OISFuture" | character vector with value 'OISFuture' | cell array of character vectors with values of 'OISFuture'

Instrument type, specified as a string with the value of "OISFuture", a character vector with the value of 'OISFuture', an NINST-by-1 string array with values of "OISFuture", or an NINST-by-1 cell array of character vectors with values of 'OISFuture'.

Data Types: char | cell | string

Name-Value Arguments

Specify required and 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.

Example: OISFutureInst = fininstrument("OISFuture",QuotedPrice=99.5,Maturity=datetime(2022,12,15),StartDate=datetime(2022,9,15))

Required OISFuture Name-Value Arguments

QuotedPrice — OIS future quoted price

scalar numeric | numeric decimal

OIS future quoted price, specified as QuotedPrice and a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

Maturity — OIS future maturity date

datetime array | string array | date character vector

OIS future maturity date, specified as Maturity and a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

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

If you use date character vectors or strings, the format must be recognizable by datetime because the Maturity property is stored as a datetime.

StartDate — OIS future underlying rate end date

datetime array | string array | date character vector

OIS future underlying rate end date, specified as StartDate and a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

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

If you use date character vectors or strings, the format must be recognizable by datetime because the StartDate property is stored as a datetime.

Optional OISFuture Name-Value Arguments

Method — Computation method

"Compound" (default) | string with value "Compound" or "Average" | string array with values of "Compound" or "Average" | character vector with value 'Compound' or 'Average' | cell array of character vectors with values of 'Compound' or 'Average'

Computation method, specified as Method and a scalar character vector or string or an NINST-by-1 cell array of character vectors or string array.

Data Types: cell | char | string

Basis — Day count basis

2 (actual/360) (default) | scalar integer from 0 to 13 | vector of integers from 0 to 13

Day count basis, specified as Basis and a scalar integer or an NINST-by-1 vector of integers for the following:

• 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

Notional — Notional principal amount

100 (default) | scalar numeric | numeric vector

Notional principal amount, specified as Notional and a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

BusinessDayConvention — Business day convention for cash flow dates

"actual" (default) | string | string array | character vector | cell array of character vectors

Business day convention for cash flow dates, specified as BusinessDayConvention and a scalar string or character vector or an NINST-by-1 cell array of character vectors or string array. The selection for business day convention determines how nonbusiness days are treated. Nonbusiness days are defined as weekends plus any other date that businesses are not open (for example, statutory holidays). Values are:

• "actual" — Nonbusiness days are effectively ignored. Cash flows that fall on nonbusiness days are assumed to be distributed on the actual date.

• "follow" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day.

• "modifiedfollow" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day. However, if the following business day is in a different month, the previous business day is adopted instead.

• "previous" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day.

• "modifiedprevious" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day. However, if the previous business day is in a different month, the following business day is adopted instead.

Data Types: char | cell | string

Holidays — Holidays used in computing business days

NaT (default) | datetime array | string array | date character vector

Holidays used in computing business days, specified as Holidays and dates using an NINST-by-1 vector of a datetime array, string array, or date character vectors. For example:

H = holidays(datetime('today'),datetime(2025,12,15));
OISFutureInst = fininstrument("OISFuture",Maturity=datetime(2022,12,15),QuotedPrice=99.5,ExerciseDate=datetime(2022,6,15),Holidays=H)

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

ProjectionCurve — Projection curve used to price OIS future

ratecurve.empty (default) | ratecurve object | vector of ratecurve objects

Projection curve used to price OIS future, specified as ProjectionCurve and a scalar ratecurve object or an NINST-by-1 vector of ratecurve objects. These objects must be created using ratecurve. Use this optional input if the forward curve is different from the discount curve.

Data Types: object

HistoricalFixing — Historical fixing for OISFuture

timetable.empty (default) | timetable

Historical fixing for OISFuture, specified as HistoricalFixing and a timetable.

Data Types: timetable

Name — User-defined name for instrument

"" (default) | string | character vector

User-defined name for the instrument, specified as Name and a scalar string or character vector or an NINST-by-1 cell array of character vectors or string array.

Data Types: char | cell | string

Properties

QuotedPrice — OIS future quoted price

scalar numeric | numeric vector

OIS future quoted price, returned as a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

Maturity — OIS future maturity date

datetime | vector of datetimes

OIS future maturity date, returned as a scalar datetime or an NINST-by-1 vector of datetimes.

Data Types: datetime

StartDate — OIS future underlying end date

datetime | vector of datetimes

OIS future underlying end date, returned as a scalar datetime or an NINST-by-1 vector of datetimes.

Data Types: datetime

Method — Computation method

"Compound" (default) | string with value "Compound" or "Average" | string array with values of "Compound" or "Average"

Computation method, returned as a string or an NINST-by-1 string array.

Data Types: string

Basis — Day count basis

0 (actual/actual) (default) | scalar integer from 0 to 13 | vector of integers from 0 to 13

Day count basis, returned as a scalar integer or an NINST-by-1 vector of integers.

Data Types: double

Notional — Notional principal amount

100 (default) | scalar numeric | numeric vector

Notional principal amount, returned as a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

BusinessDayConvention — Business day convention for cash flows

"actual" (default) | scalar string | string array

Business day convention for cash flows, returned as a scalar string or an NINST-by-1 string array.

Data Types: string

Holidays — Holidays used in computing business days

NaT (default) | datetimes

Holidays used in computing business days, returned as an NINST-by-1 vector of datetimes.

Data Types: datetime

ProjectionCurve — Projection curve used to price OIS future

ratecurve.empty (default) | ratecurve object | vector of ratecurve objects

Projection curve used to price OIS future, returned as a scalar ratecurve object or an NINST-by-1 vector of ratecurve objects.

Data Types: object

HistoricalFixing — Historical fixing for OISFuture

timetable.empty (default) | timetable

Historical fixing for OISFuture, returned as a timetable.

Data Types: timetable

Name — User-defined name for instrument

"" (default) | string | string array

User-defined name for the instrument, returned as a string or an NINST-by-1 string array.

Data Types: string

Object Functions

cashflows

Compute cash flow for FixedBond, FloatBond, Swap, FRA, STIRFuture, OISFuture, OvernightIndexedSwap, or Deposit instrument

Examples

Price SOFR Future Using ratecurve and Discount Pricer

This example shows the workflow to price an OISFuture instrument for a one-month SOFR future when you use a ratecurve object and a Discount pricing method.

Create ratecurve Object

Create a ratecurve object using ratecurve for the underlying interest-rate curve for the OISFuture instrument.

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;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)

myRC = 
  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 OISFuture Instrument Object

Use fininstrument to create an OISFuture instrument object for a one-month SOFR future.

HFDates = datetime(2021,3,1) + caldays(0:3)';
HistFixing = timetable(HFDates,[0.02;0.04;0.04;0.02]);

% Data from the following: https://www.cmegroup.com/trading/interest-rates/stir/one-month-sofr_quotes_globex.html
Prices_1M = 99.97;
Maturity_1M = lbusdate(2021,3,[],[],'datetime');
StartDate_1M = fbusdate(2021,3,[],[],'datetime');
FutInstrument_1M = fininstrument("OISFuture",Maturity=Maturity_1M ,QuotedPrice=Prices_1M,StartDate=StartDate_1M,Method="Average", ...
    HistoricalFixing=HistFixing,Name="1MonthSOFRFuture")

FutInstrument_1M = 
  OISFuture with properties:

              QuotedPrice: 99.9700
                   Method: "average"
                    Basis: 2
                StartDate: 01-Mar-2021
                 Maturity: 31-Mar-2021
                 Notional: 100
    BusinessDayConvention: "actual"
                 Holidays: NaT
          ProjectionCurve: [0x0 ratecurve]
         HistoricalFixing: [4x1 timetable]
                     Name: "1MonthSOFRFuture"

Create Discount Pricer Object

Use finpricer to create a Discount pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("Discount",DiscountCurve=myRC)

outPricer = 
  Discount with properties:

    DiscountCurve: [1x1 ratecurve]

Price OISFuture Instrument for SOFR Future

Use price to compute the price and sensitivities for the OISFuture instrument for a one-month SOFR future.

[Price,outPR] = price(outPricer,FutInstrument_1M,["all"])

Price = 
0.0408

outPR = 
  priceresult with properties:

       Results: [1x2 table]
    PricerData: []

outPR.Results

ans=1×2 table
     Price        DV01    
    _______    ___________

    0.04079    -0.00083163

Price Multiple SOFR Futures Using ratecurve and Discount Pricer

This example shows the workflow to price multiple OISFuture instruments for one-month SOFR futures and three-month SOFR futures when you use a ratecurve object and a Discount pricing method.

Create ratecurve Object

Create a ratecurve object using ratecurve for the underlying interest-rate curve for the OISFuture instruments.

Settle = datetime(2019,9,15);
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;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)

myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Sep-2019
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create OISFuture Instrument Objects for SOFR Futures

Use fininstrument to create an OISFuture instrument object for one-month SOFR futures.

HFDates = datetime(2021,3,1) + caldays(0:3)';
HistFixing = timetable(HFDates,[0.02;0.04;0.04;0.02]);

% Data from the following: https://www.cmegroup.com/trading/interest-rates/stir/one-month-sofr_quotes_globex.html
Prices_1M = [99.97 99.96 99.95]';
Maturity_1M = lbusdate(2021,[3 4 5]',[],[],'datetime');
StartDate_1M = fbusdate(2021,[3 4 5]',[],[],'datetime');
FutInstruments_1M = fininstrument("OISFuture",Maturity=Maturity_1M ,QuotedPrice=Prices_1M,StartDate=StartDate_1M,Method="Average", ...
    HistoricalFixing=HistFixing,Name="1MonthSOFRFuture")

FutInstruments_1M=3×1 OISFuture array with properties:
    QuotedPrice
    Method
    Basis
    StartDate
    Maturity
    Notional
    BusinessDayConvention
    Holidays
    ProjectionCurve
    HistoricalFixing
    Name

Use fininstrument to create an OISFuture instrument object for three-month SOFR futures.

% Data from the following: https://www.cmegroup.com/trading/interest-rates/stir/three-month-sofr_quotes_globex.html
Prices_3M = [99.92 99.895 99.84 99.74]';
Dates_3M_Maturity = thirdwednesday([6 9 12 3]',[2021 2021 2021 2022]','datetime');
Dates_3M_Start = thirdwednesday([3 6 9 12]',2021,'datetime');
FutInstruments_3M = fininstrument("OISFuture",Maturity=Dates_3M_Maturity, ...
    QuotedPrice=Prices_3M,StartDate=Dates_3M_Start,HistoricalFixing=HistFixing,Name="3MonthSOFRFuture")

FutInstruments_3M=4×1 OISFuture array with properties:
    QuotedPrice
    Method
    Basis
    StartDate
    Maturity
    Notional
    BusinessDayConvention
    Holidays
    ProjectionCurve
    HistoricalFixing
    Name

Create Discount Pricer Object

Use finpricer to create a Discount pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("Discount",DiscountCurve=myRC)

outPricer = 
  Discount with properties:

    DiscountCurve: [1x1 ratecurve]

Price OISFuture Instruments for SOFR Futures

Use price to compute the prices for the OISFuture instruments for one-month and three-month SOFR futures.

Price = price(outPricer,[FutInstruments_1M ; FutInstruments_3M])

Price = 7×1

    0.0527
    0.0509
    0.0439
    0.1511
    0.1520
    0.1791
    0.1687

More About

OIS Future

An OIS future is a futures contract that has an overnight index swap as the underlying asset.

To support the LIBOR transition, the OISFuture instrument supports the adoption of alternative reference rates (ARR) like SOFR, EONIA, SONIA, SARON, and TONAR. The ARRs replace the LIBOR benchmark, which underpins many loans, mortgages, bonds, and interest-rate derivatives.

The secured overnight financing rate (SOFR) ARR tracks the overnight effective federal funds rate (which is a benchmark of the US short-term interest rate market). SOFR is becoming the benchmark rate for dollar-denominated derivatives and loans. Other countries have sought their own alternative rates, such as SONIA and EONIA. In the US, SOFR futures mature in three months and the start dates for an SOFR future coincide with international money market (IMM) expiration dates. The SOFR futures trade on maturity dates of money market futures and money market futures options, which are set by futures and options exchanges. These dates are always the third Wednesday of the last month of the quarter (March, June, September, December). You can determine these third Wednesday dates using thirdwednesday. For an example, see Compute LIBOR Fallback.

Version History

Introduced in R2021b

R2022b: Serial date numbers not recommended

Although OISFuture 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.