cfplot
Visualize cash flows of financial instruments
Syntax
Description
cfplot(
plots a cash flow diagram for the specified cash flow amounts
(CFlowDates
,CFlowAmounts
)CFlowAmounts
) and dates
(CFlowDates
). The length and orientation of each arrow
correspond to the cash flow amount.
cfplot(
plots a cash flow diagram for the specified cash flow amounts using an optional
ax argument. ax
,CFlowDates
,CFlowAmounts
)
cfplot(___,
plots a cash flow diagram for the specified cash flow amounts
(Name,Value
)CFlowAmounts
), dates
(CFlowDates
), and optional name-value pair
arguments.
returns the handle to the line objects used in the cash flow diagram.h
= cfplot(___,Name,Value
)
[
returns the handles to the line objects and the axes using optional name-value
pair arguments. h
,axes_handle
]
= cfplot(___,Name,Value
)
Examples
Plot Cash Flows
Define CFlowAmounts
and CFlowDates
using the cfamounts
function.
CouponRate = [0.06; 0.05; 0.03]; Settle = '03-Jun-1999'; Maturity = ['15-Aug-2000';'15-Dec-2000';'15-Jun-2000']; Period = [1; 2; 2]; Basis = [1; 0; 0]; [CFlowAmounts, CFlowDates] = cfamounts(... CouponRate, Settle, Maturity, Period, Basis)
CFlowAmounts = 3×5
-4.8000 6.0000 106.0000 NaN NaN
-2.3352 2.5000 2.5000 2.5000 102.5000
-1.4011 1.5000 1.5000 101.5000 NaN
CFlowDates = 3×5
730274 730347 730713 NaN NaN
730274 730286 730469 730652 730835
730274 730286 730469 730652 NaN
Plot all cash flows on the same axes, and label the first two.
cfplot(CFlowDates, CFlowAmounts, 'ShowAmnt', [1 2])
Group the second and third cash flows.
figure; cfplot(CFlowDates, CFlowAmounts, 'Groups', {[2 3]}, 'ShowAmnt', 1);
Format the date axis and place ticks on actual cash flow dates.
figure; cfplot(CFlowDates, CFlowAmounts, 'Groups', {[2 3]}, 'ShowAmnt', 1, ... 'DateFormat', 6, 'DateSpacing', 100);
Stack the cash flow arrows occurring on the same dates.
figure; cfplot(CFlowDates, CFlowAmounts, 'Groups', {[2 3]}, 'ShowAmnt', 1, ... 'DateFormat', 6, 'DateSpacing', 100, 'Stacked', 1);
Form subplots of multiple groups and add titles using axes handles.
figure; [h, axes_handle] = cfplot(CFlowDates, CFlowAmounts, ... 'Groups', {[1] [2 3]}, 'ShowAmnt', 1, 'Stacked', 2, ... 'DateSpacing', [1 60 2 100], 'DateFormat', [1 12 2 6]); title(axes_handle(1), 'Group 1', 'FontWeight', 'bold'); title(axes_handle(2), 'Group 2', 'FontWeight', 'bold');
Plot Cash Flows Using datetime Input for CFlowDates
Define CFlowDates
using datetime
input and plot the cash flow.
CouponRate = [0.06; 0.05; 0.03]; Settle = '03-Jun-1999'; Maturity = ['15-Aug-2000';'15-Dec-2000';'15-Jun-2000']; Period = [1; 2; 2]; Basis = [1; 0; 0]; [CFlowAmounts, CFlowDates] = cfamounts(... CouponRate, Settle, Maturity, Period, Basis); cfplot(datetime(CFlowDates,'ConvertFrom','datenum','Locale','en_US'), CFlowAmounts, 'ShowAmnt', [1 2])
Plot Cash Flows for Swap
Define the swap using the swapbyzero
function.
Settle = datetime(2010,6,8); RateSpec = intenvset('Rates', [.005 .0075 .01 .014 .02 .025 .03]',... 'StartDates',Settle, 'EndDates',[datetime(2010,12,8),datetime(2011,6,8),datetime(2012,6,8),datetime(2013,6,8),datetime(2015,6,8),datetime(2017,6,8),datetime(2020,6,8)]'); Maturity = datenum('15-Sep-2020'); LegRate = [.025 50]; LegType = [1 0]; % fixed/floating LatestFloatingRate = .005; [Price, SwapRate, AI, RecCF, RecCFDates, PayCF,PayCFDates] = ... swapbyzero(RateSpec, LegRate, Settle, Maturity,'LegType',LegType,... 'LatestFloatingRate',LatestFloatingRate)
Price = -6.7258
SwapRate = NaN
AI = 1.4575
RecCF = 1×12
-1.8219 2.5000 2.5000 2.5000 2.5000 2.5000 2.5000 2.5000 2.5000 2.5000 2.5000 102.5000
RecCFDates = 1×12
734297 734396 734761 735127 735492 735857 736222 736588 736953 737318 737683 738049
PayCF = 1×12
-0.3644 0.5000 1.4048 1.9823 2.8436 3.2842 3.8218 4.1733 4.5164 4.4666 4.8068 104.6743
PayCFDates = 1×12
734297 734396 734761 735127 735492 735857 736222 736588 736953 737318 737683 738049
Define CFlowDates
and CFlowAmounts
for the swap and generate a cash flow plot using cfplot
.
CFlowDates = [PayCFDates;RecCFDates]; CFlowAmounts = [-PayCF;RecCF]; cfplot(CFlowDates, CFlowAmounts, 'Groups', {[1 2]}); xlabel('Numeric Cash Flow Dates');
Input Arguments
CFlowDates
— Matrix of dates for cash flows
vector
Matrix of datetime arrays for cash flows, specified as a
NINST
-by-(Number of cash flows)
matrix of cash flow dates using datetime format, with empty entries padded
with NaN
s.
Each row of the CFlowDates
matrix represents an
instrument so that CFlowDates(k,:)
is the vector of cash
flow dates for the k
th instrument. Rows are padded with
trailing NaN
s if the number of cash flows is not the same
for all instruments.
cfamounts
can be used to
generate CFlowDates
.
Data Types: datetime
CFlowAmounts
— Matrix of cash flow amounts
vector
Matrix of cash flow amounts, specified as a
NINST
-by-(Number of cash flows)
matrix of cash flow amounts, with empty entries padded with
NaN
s. The CFlowAmounts
matrix
must be the same size as CFlowDates
.
cfamounts
can be used to
generate CFlowAmounts
.
Data Types: double
ax
— Valid axis object
object
(Optional) Valid axis object, specified as an ax
object
that is created using axes
. The plot will be
created in the axes specified by the optional ax
argument
instead of in the current axes (gca). The optional argument
ax
can precede any of the input argument
combinations.
Data Types: object
Name-Value Arguments
Specify 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.
Before R2021a, use commas to separate each name and value, and enclose
Name
in quotes.
Example: cfplot(CFlowDates,CFlowAmounts,'Groups',{[2
3]},'ShowAmnt',1,'DateFormat',6,'DateSpacing',100)
Groups
— Group cash flows
'off'
(default) | character vector with value 'off'
or
'individual'
| cell array of character vectors
Group cash flows, specified as the comma-separated pair consisting of
'Groups'
and the following values:
'off'
— Show all instruments in one set of axes, arranged from top to bottom.'individual'
— Generate subplots and plot each instrument in its own axis.GRP
— Cell array of instrument groups,{Group1, Group2,... }
. This generates subplots and plots each group in each axis. When specifying{Group1, Group2,... }
, each Group must be mutually exclusive vectors ofINSTIndex
. Unspecified instruments are not shown in the grouped plot.
Data Types: char
| cell
Stacked
— Stack arrows if cash flows are in same direction on same day
ignored when 'Groups'
is
'off'
, otherwise 'off'
(default) | character vector with values 'off'
,
'all'
, or 'GRPIndex'
Stack arrows if the cash flows are in the same direction on the same
day, specified as the comma-separated pair consisting of
'Stacked'
and the following values:
'off'
— For all groups, all arrows originate from the horizontal line.'all'
— For all groups, arrows are stacked if the cash flows are in the same direction on the same day.'GRPIndex'
— For specified groups, arrows are stacked if the cash flows are in the same direction on the same day.
Data Types: char
ShowAmnt
— Show amount on arrows
'off'
(default) | character vector with values 'off'
or
'individual'
| cell array of character vectors
Show amount on the arrows, specified as the comma-separated pair
consisting of 'ShowAmnt'
and the following values:
'off'
— Hide cash flow amounts on arrows.'all'
— Show cash flow amounts on arrows.[
INSTIndex
orGRPIndex
] — Show cash flow amounts for the specified vector of instruments (when'Groups'
is'off'
) or groups.
Data Types: char
| cell
DateSpacing
— Control for date axis tick spacing
'off'
(default) | character vector with values 'off'
or
TickDateSpace
| numeric value for TickDateSpace
Control for data spacing, specified as the comma-separated pair
consisting of 'DateSpacing'
and the following values:
'off'
— The date axis ticks are spaced regularly.TickDateSpace
— The date axis ticks are placed on actual cash flow dates. The ticks skip some cash flows if they are less thanTickDateSpace
apart.
Data Types: char
| double
DateFormat
— Date format
'off'
(default) | character vector with values 'off'
or
DateFormNum
| numeric value for DateFormNum
Date format, specified as the comma-separated pair consisting of
'DateFormat'
and the following values:
'off'
— The date axis tick labels are in date numbers.DateFormNum
— The date format number (2
='mm/dd/yy'
, 6 ='mm/dd'
, and10
='yyyy'
). Additional values forDateFormNum
are as follows:DateFormNum
Example 2
03/01/00 3
Mar 5
03 6
03/01 7
01 8
Wed 9
W 10
2000 11
00 12
Mar00 17
Q1–00 18
Q1 19
01/03 20
01/03/00 27
Q1–2000 28
Mar2000 29
2000–03–01
Data Types: char
| double
Output Arguments
h
— Handles to line objects
vector
Handles to line objects, returned as a
NINST
-by-3
matrix of handles to
line objects, containing [
hLines
,
hUArrowHead
,
hDArrowHead
]
where:
hLines
— Horizontal and vertical lines used in the cash flow diagramhUArrowHead
— "Up" arrowheadshDArrowHead
— "Down" arrowheads
axes_handle
— Handles to axes for plot or subplots
vector
Handles to axes for the plot or subplots, returned as a (Number
of axes
)-by-1
vector of handles to
axes.
Version History
Introduced in R2013a
See Also
cfamounts
| cfdates
| swapbyzero
(Financial Instruments Toolbox) | datetime
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