instfixed

Construct fixed-rate instrument

Syntax

InstSet = instfixed(CouponRate,Settle,Maturity)

InstSet = instfixed(InstSet,CouponRate,Settle,Maturity)

InstSet = instfixed(___,FixedReset,Basis,Principal,EndMonthRule)

[FieldList,ClassList,TypeString] = instfixed

Description

InstSet = instfixed(CouponRate,Settle,Maturity) creates a new instrument set containing Fixed-Rate instruments.

InstSet = instfixed(InstSet,CouponRate,Settle,Maturity) adds Fixed-Rate instruments to an existing instrument set.

InstSet = instfixed(___,FixedReset,Basis,Principal,EndMonthRule) adds optional arguments.

[FieldList,ClassList,TypeString] = instfixed lists field meta-data for the Fixed-Rate instrument.

Examples

Create a Fixed-Rate Instrument

Define the characteristics of the fixed-rate instrument.

CouponRate = .03;
Settle = datetime(2013,3,15);
Maturity = datetime(2018,3,15);
FixedReset = 4;
Basis = 1;
Principal = 1000;
EndMonthRule = 1;

Create the new cap instrument.

ISet = instfixed(CouponRate, Settle, Maturity, FixedReset, Basis, Principal,EndMonthRule)

ISet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1×1 struct]
          Type: {'Fixed'}
     FieldName: {{7×1 cell}}
    FieldClass: {{7×1 cell}}
     FieldData: {{7×1 cell}}

Display the fixed-rate instrument.

instdisp(ISet)

Index Type  CouponRate Settle         Maturity       FixedReset Basis Principal EndMonthRule
1     Fixed 0.03       15-Mar-2013    15-Mar-2018    4          1     1000      1           
 

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

CouponRate — Coupon annual rate

decimal

Coupon annual rate, specified as a scalar or an NINST-by-1 vector.

Data Types: double

Settle — Settlement date

datetime array | string array | date character vector

Settlement date for the fixed-rate instrument, specified as a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

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

Maturity — Maturity date

datetime array | string array | date character vector

Maturity date, specified as a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors representing the maturity date for each fixed-rate note.

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

FixedReset — Frequency of payments per year

1 (default) | vector

(Optional) Frequency of payments 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 a 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 amounts or principal value schedules

100 (default) | vector or cell array

(Optional) Notional principal amounts, specified as a scalar, vector, or cell array.

Principal accepts a NINST-by-1 vector or NINST-by-1 cell array, where each element of the cell array is a NumDates-by-2 cell array and the first column is dates and the second column is its associated notional principal value. The date indicates the last day that the principal value is valid.

Data Types: cell | double

EndMonthRule — End-of-month rule flag for generating dates when Maturity is end-of-month date for month having 30 or fewer days

1 (in effect) (default) | nonnegative integer [0,1]

(Optional) End-of-month rule flag for generating dates when Maturity is an end-of-month date for a month having 30 or fewer days, specified as a nonnegative integer 0 or 1 using a scalar or an NINST-by-1 vector.

• 0 = Ignore rule, meaning that a payment date is always the same numerical day of the month.

• 1 = Set rule on, meaning that a payment date is always the last actual day of the month.

Data Types: logical

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 Fixed-Rate instrument

cell array of character vectors

Name of each data field for a Fixed-Rate 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 Fixed-Rate instrument, TypeString = 'Fixed'.

More About

Fixed-Rate Note

A fixed-rate note is a long-term debt security with a preset interest rate and maturity, by which the interest must be paid.

The principal may or may not be paid at maturity. In Financial Instruments Toolbox™, the principal is always paid at maturity. For more information, see Fixed-Rate Note.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although instfixed 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.