price

Compute price for CurrencySwap instrument with FXDiscount pricer

Since R2024a

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.

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

Examples

Use FXDiscount Pricer and Multiple ratecurve Objects to Price CurrencySwap Instrument Across Currencies

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: [11×1 datetime]
                Rates: [11×1 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: [10×1 datetime]
                Rates: [10×1 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: [0×0 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: [1×2 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

inpPricer — Pricer object

FXDiscount pricer object

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

Data Types: object

inpInstrument — Instrument object

CurrencySwap object

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

Data Types: object

inpSensitivity — List of sensitivities to compute

[ ] (default) | string array of character vector with values "Price", "DV01", and "All" | cell array of character vectors with values 'Price', 'DV01', and 'All'

(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.

inpInstrument	Supported Sensitivities
CurrencySwap	{'DV01','price'}

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

Data Types: cell | string

Output Arguments

Price — Instrument price

numeric

Instrument price, returned as a numeric.

PriceResult — Price result

PriceResult object

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

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