inflationCashflows
Description
computes cash flows for an outCF
= inflationCashflows(inpInstrumentObject
,Settle
,inpInflationCurve
)YearYearInflationSwap
instrument object.
Examples
Price Year-on-Year Inflation-Indexed Swap Instrument Using inflationcurve
and Inflation
Pricer and Compute Cash Flows
This example shows the workflow to price a YearYearInflationSwap
instrument when you use an inflationcurve
object and an Inflation
pricing method. Then use inflationCashflows
to compute the cash flows for the YearYearInflationSwap
instrument.
Create ratecurve
Object
Create a ratecurve
object using ratecurve
.
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; ZeroCurve = ratecurve('zero',Settle,ZeroDates,ZeroRates)
ZeroCurve = 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 inflationcurve
Object
Create an inflationcurve
object using inflationcurve
.
BaseDate = datetime(2020,10,1); InflationTimes = [0 calyears([1 2 3 4 5 7 10 20 30])]'; InflationIndexValues = [100 102 103.5 105 106.8 108.2 111.3 120.1 130.4 150.2]'; InflationDates = BaseDate + InflationTimes; myInflationCurve = inflationcurve(InflationDates,InflationIndexValues)
myInflationCurve = inflationcurve with properties: Basis: 0 Dates: [10x1 datetime] InflationIndexValues: [10x1 double] ForwardInflationRates: [9x1 double] Seasonality: [12x1 double]
Create YearYearInflationSwap
Instrument Object
Use fininstrument
to create a YearYearInflationSwap
instrument object.
Maturity = datetime(2025,1,1); FixedInflationRate = 0.015; Notional = 2000; YYInflationSwap = fininstrument("YearYearInflationSwap",'Maturity',Maturity,'FixedInflationRate',FixedInflationRate,'Notional',Notional,'Name',"YYInflationSwap_instrument")
YYInflationSwap = YearYearInflationSwap with properties: Notional: 2000 FixedInflationRate: 0.0150 Basis: 0 Lag: 3 Maturity: 01-Jan-2025 IssueIndex: NaN Name: "YYInflationSwap_instrument"
Create Inflation
Pricer Object
Use finpricer
to create an Inflation
pricer object and use the ratecurve
object with the 'DiscountCurve'
name-value pair argument and the inflationcurve
object with the 'InflationCurve'
name-value pair argument.
outPricer = finpricer("Inflation",'DiscountCurve',ZeroCurve,'InflationCurve',myInflationCurve)
outPricer = Inflation with properties: DiscountCurve: [1x1 ratecurve] InflationCurve: [1x1 inflationcurve]
Price YearYearInflationSwap
Instrument
Use price
to compute the price and sensitivities for the YearYearInflationSwap
instrument.
[Price,outPR] = price(outPricer,YYInflationSwap,"all")
Price = 12.5035
outPR = priceresult with properties: Results: [1x1 table] PricerData: []
outPR.Results
ans=table
Price
______
12.504
Compute Cash Flows for YearYearInflationSwap
Instrument
Use inflationCashflows
to compute the cash flows for the YearYearInflationSwap
instrument.
outCF = inflationCashflows(YYInflationSwap,datetime(2021,1,15),myInflationCurve)
outCF=4×2 timetable
Time Var1 Var2
___________ ____ ______
01-Jan-2022 -30 40
01-Jan-2023 -30 29.412
01-Jan-2024 -30 28.986
01-Jan-2025 -30 34.286
Price Multiple Year-on-Year Inflation-Indexed Swap Instruments Using inflationcurve
and Inflation
Pricer and Compute Cash Flows
This example shows the workflow to price multiple YearYearInflationSwap
instrument when you use an inflationcurve
object and an Inflation
pricing method. Then use inflationCashflows
to compute the cash flows for the YearYearInflationSwap
instruments.
Create ratecurve
Object
Create a ratecurve
object using ratecurve
.
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; ZeroCurve = ratecurve('zero',Settle,ZeroDates,ZeroRates)
ZeroCurve = 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 inflationcurve
Object
Create an inflationcurve
object using inflationcurve
.
BaseDate = datetime(2019,10,1); InflationTimes = [0 calyears([1 2 3 4 5 7 10 20 30])]'; InflationIndexValues = [100 102 103.5 105 106.8 108.2 111.3 120.1 130.4 150.2]'; InflationDates = BaseDate + InflationTimes; myInflationCurve = inflationcurve(InflationDates,InflationIndexValues)
myInflationCurve = inflationcurve with properties: Basis: 0 Dates: [10x1 datetime] InflationIndexValues: [10x1 double] ForwardInflationRates: [9x1 double] Seasonality: [12x1 double]
Create YearYearInflationSwap
Instrument Object
Use fininstrument
to create a YearYearInflationSwap
instrument object for three Year-on-Year Inflation-Indexed Swap instruments.
Maturity = datetime([2024,1,1 ; 2024,11,1 ; 2024,12,1]); FixedInflationRate = 0.015; Notional = [20000 ; 30000 ; 40000]; YYInflationSwap = fininstrument("YearYearInflationSwap",'Maturity',Maturity,'FixedInflationRate',FixedInflationRate,'Notional',Notional,'Name',"YYInflationSwap_instrument")
YYInflationSwap=3×1 YearYearInflationSwap array with properties:
Notional
FixedInflationRate
Basis
Lag
Maturity
IssueIndex
Name
Create Inflation
Pricer Object
Use finpricer
to create an Inflation
pricer object and use the ratecurve
object with the 'DiscountCurve'
name-value pair argument and the inflationcurve
object with the 'InflationCurve'
name-value pair argument.
outPricer = finpricer("Inflation",'DiscountCurve',ZeroCurve,'InflationCurve',myInflationCurve)
outPricer = Inflation with properties: DiscountCurve: [1x1 ratecurve] InflationCurve: [1x1 inflationcurve]
Price YearYearInflationSwap
Instruments
Use price
to compute the prices and sensitivities for the YearYearInflationSwap
instruments.
[Price,outPR] = price(outPricer,YYInflationSwap,"all")
Price = 3×1
26.0701
18.1540
1.3201
outPR=1×3 priceresult array with properties:
Results
PricerData
outPR.Results
ans=table
Price
_____
26.07
ans=table
Price
______
18.154
ans=table
Price
______
1.3201
Compute Cash Flows for YearYearInflationSwap
Instruments
Use inflationCashflows
to compute the cash flows for the YearYearInflationSwap
instruments.
outCF = inflationCashflows(YYInflationSwap(1),datetime(2021,1,15),myInflationCurve)
outCF=3×2 timetable
Time Var1 Var2
___________ ____ ______
01-Jan-2022 -300 294.12
01-Jan-2023 -300 289.86
01-Jan-2024 -300 342.86
outCF = inflationCashflows(YYInflationSwap(2),datetime(2021,1,15),myInflationCurve)
outCF=4×2 timetable
Time Var1 Var2
___________ ____ ______
01-Nov-2021 -450 467.39
01-Nov-2022 -450 435.85
01-Nov-2023 -450 500.98
01-Nov-2024 -450 413.63
outCF = inflationCashflows(YYInflationSwap(3),datetime(2021,1,15),myInflationCurve)
outCF=4×2 timetable
Time Var1 Var2
___________ ____ ______
01-Dec-2021 -600 605.42
01-Dec-2022 -600 580.41
01-Dec-2023 -600 676.99
01-Dec-2024 -600 537.7
Input Arguments
inpInstrumentObject
— Instrument object
YearYearInflationSwap
object
Instrument object, specified using a previously created instrument object for a
YearYearInflationSwap
.
Note
If the inpInstrumentObject
is a vector of instruments, you
must use inflationCashflows
separately with each
instrument.
Data Types: object
Settle
— Settlement date for instrument cash flow
datetime scalar | string scalar | date character vector
Settlement date for instrument cash flow, specified as a scalar datetime, string, or date character vector.
Note
The Settle
date you specify must be before the
Maturity
date for the YearYearInflationSwap
instrument.
To support existing code, inflationCashflows
also
accepts serial date numbers as inputs, but they are not recommended.
inpInflationCurve
— Inflation curve
inflationcurve
object
Inflation curve, specified using a previously created inflation curve object using
inflationcurve
.
Data Types: object
Output Arguments
outCF
— Output cash flow
timetable
Output cash flow, returned as a timetable.
Version History
Introduced in R2021aR2022b: Serial date numbers not recommended
Although inflationCashflows
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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