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price

Compute price for CurrencySwap instrument with FXDiscount pricer

Since R2024a

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Syntax

[Price,PriceResult] = price(inpPricer,inpInstrument)
[Price,PriceResult] = price(___,inpSensitivity)

Description

[Price,PriceResult] = price(inpPricer,inpInstrument) computes the instrument price and related pricing information based on the pricing object inpPricer and the instrument object inpInstrument.

example

[Price,PriceResult] = price(___,inpSensitivity) adds an optional argument to specify sensitivities.

example

Examples

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Open Live Script

This example shows the workflow to price a CurrencySwap instrument by using two ratecurve objects for two zero rates for different currencies and then use a FXDiscount pricing method.

Create ratecurve Objects

Create two ratecurve objects using ratecurve for the discounting cash flows for the CurrencySwap instrument. The ZeroCurve_USD zero curve is for US currency and the EUR_Zero zero curve is for Euro currency.

Settle = datetime(2023,9,15);

% US Currency
USD_Dates = datemnth(Settle,[1 3 6 12*[1 2 3 5 7 10 20 30]]');
USD_Zero = [0.03 0.06 0.08 0.13 0.36 0.76 1.63 2.29 2.88 3.64 3.89]'/100;
ZeroCurve_USD = ratecurve("zero",Settle,USD_Dates,USD_Zero,Compounding=1)
ZeroCurve_USD = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: 1
                Basis: 0
                Dates: [11x1 datetime]
                Rates: [11x1 double]
               Settle: 15-Sep-2023
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"


% Euro currency
EUR_Dates = datemnth(Settle,[3 6 12*[1 2 3 5 7 10 20 30]]');
EUR_Zero = [0.017 0.033 0.088 .27 .512 1.056 1.573 2.183 2.898 2.797]'/100;
ZeroCurve_EUR = ratecurve("zero",Settle,EUR_Dates,EUR_Zero,Compounding=1)
ZeroCurve_EUR = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: 1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Sep-2023
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create CurrencySwap Instrument Object

Use fininstrument to create a CurrencySwap instrument object.

% Cross-Currency Swap Data
Maturity_FXSwap = Settle + calyears(10);
LegRate_FXSwap = [2.5 4]/100;
LegType_FXSwap = ["fixed" "fixed"];
LegReset_FXSwap = [2 2];
Notional_FXSwap = [100 100/1.1];

CurrencySwap = fininstrument("CurrencySwap",Maturity=Maturity_FXSwap,LegRate=LegRate_FXSwap,LegType=LegType_FXSwap,Reset=LegReset_FXSwap,Notional=Notional_FXSwap,Name="currencyswap_instrument")
CurrencySwap = 
  CurrencySwap with properties:

                     LegRate: [0.0250 0.0400]
                     LegType: ["fixed"    "fixed"]
                       Reset: [2 2]
                       Basis: [0 0]
                    Notional: [100 90.9091]
          LatestFloatingRate: [NaN NaN]
                 ResetOffset: [0 0]
    DaycountAdjustedCashFlow: [0 0]
             ProjectionCurve: [0x0 ratecurve]
       BusinessDayConvention: ["actual"    "actual"]
                    Holidays: NaT
                EndMonthRule: [1 1]
     ExchangeInitialNotional: 1
    ExchangeMaturityNotional: 1
                   StartDate: NaT
                    Maturity: 15-Sep-2033
                        Name: "currencyswap_instrument"

Create FXDiscount Pricer Object

Use finpricer to create a FXDiscount pricer object and use the two ratecurve objects for the DiscountCurve name-value argument.

FXRate = [1 1.1];
myFXPricer = finpricer("FXDiscount",DiscountCurve=[ZeroCurve_EUR ZeroCurve_USD],FXRate=FXRate)
myFXPricer = 
  FXDiscount with properties:

    DiscountCurve: [1x2 ratecurve]
           FXRate: [1 1.1000]

Price CurrencySwap Instrument

Use price to compute the price for the CurrencySwap instrument.

Price_FXSwap = price(myFXPricer,CurrencySwap,"all")
Price_FXSwap = 
-7.5751

Input Arguments

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Pricer object, specified as a scalar FXDiscount pricer object. Use finpricer to create the FXDiscount pricer object.

Data Types: object

Instrument object, specified as a scalar or vector for CurrencySwap instrument objects. Use fininstrument to create the CurrencySwap instrument objects.

Data Types: object

(Optional) List of sensitivities to compute, specified as a NOUT-by-1 or a 1-by-NOUT cell array of character vectors or string array with possible values of 'Price' and 'DV01'.

inpSensitivity = {'All'} or inpSensitivity = ["All"] specifies that the output is Price and DV01. This input is the same as specifying inpSensitivity to include each sensitivity.

The sensitivities supported depend on the inpInstrument.

inpInstrumentSupported Sensitivities
CurrencySwap{'DV01','price'}

Example: inpSensitivity = {'DV01','price'}

Data Types: cell | string

Output Arguments

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Instrument price, returned as a numeric.

Price result, returned as an object. The object has the following fields:

  • PriceResult.Results — Table of results that includes sensitivities (if you specify inpSensitivity)

  • PriceResult.PricerData — Structure for pricer data

More About

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DV01

A DV01 sensitivity is a measure for managing interest rate risk, as it quantifies how much the value of a bond or bond portfolio is expected to change with a slight move in interest rates.

DV01 quantifies the price change in monetary terms for a 1 basis point move in rates.

Version History

Introduced in R2024a

See Also

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