Interest Swap Modified Duration

2 次查看（过去 30 天）
Cameron Shaw
Cameron Shaw 2021-2-1
评论： Thomas Schlott 2021-3-29
Hi,
I discovered the new interest rate swap functionality to instantiate a security and call various functions. I can't seem to easily calculate the interest rate duration of a swap. Is there a way to calculate interest rate duration? I see the dv01 output for the price function but this does not seem to reconcile to a dv01 I would expect. e.g. a 3yr swap with 100mm notional has a dv01 of around 15k rather than 30k. Any help would be greatly appreciated.
https://au.mathworks.com/help/fininst/fininstrument.swap.html

请先登录，再回答此问题。

采纳的回答

Utkarsh Belwal
Utkarsh Belwal 2021-2-4
Hi Cameron,
This is a bug in our current release, our developers are aware of it and it will be fixed in of our future release.
A workaround to resolve this issue is to replace the current Discount Pricer with the file that is attached in this answer. Please follow the below steps:
  • Navigate to the following path: C:\ProgramFiles\MATLAB\R2020b\toolbox\fininst\fininst\+finpricer
  • In the location, please replace the 'Discount.m' file with the file that is attached in this answer.
  • Relaunch the MATLAB.
  2 个评论
Thomas Schlott
Thomas Schlott 2021-3-29
Hi Utkarsh,
the new version has a bug as well: for instruments with cpn = 0 the DV01 is always 2.5 - no matter what the maturity is.

请先登录，再进行评论。

更多回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Instrument Control Toolbox 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by