User manual MATLAB FINANCIAL TOOLBOX 3

[. . . ] Financial ToolboxTM 3 User's Guide How to Contact The MathWorks Web Newsgroup www. mathworks. com/contact_TS. html Technical Support www. mathworks. com comp. soft-sys. matlab suggest@mathworks. com bugs@mathworks. com doc@mathworks. com service@mathworks. com info@mathworks. com Product enhancement suggestions Bug reports Documentation error reports Order status, license renewals, passcodes Sales, pricing, and general information 508-647-7000 (Phone) 508-647-7001 (Fax) The MathWorks, Inc. 3 Apple Hill Drive Natick, MA 01760-2098 For contact information about worldwide offices, see the MathWorks Web site. Financial ToolboxTM User's Guide © COPYRIGHT 1995­2010 The MathWorks, Inc. The software described in this document is furnished under a license agreement. The software may be used or copied only under the terms of the license agreement. [. . . ] (Future implementation) IssueDate FirstCouponDate LastCouponDate StartDate Required arguments must be a number of bonds (NUMBONDS)-by-1 or 1-by-NUMBONDS conforming vectors or scalars. Optional arguments must 14-198 cpnpersz be either NUMBONDS-by-1 or 1-by-NUMBONDS conforming vectors, scalars, or empty matrices. Description NumDaysPeriod = cpnpersz(Settle, Maturity, Period, Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate, StartDate) returns the number of days in the coupon period containing the settlement date. For zero coupon bonds coupon dates are computed as if the bonds have a semiannual coupon structure. Examples NumDaysPeriod = cpnpersz('14 Sep 2000', '30 Jun 2001', 2, 0, 0) NumDaysPeriod = 183 NumDaysPeriod = cpnpersz('14 Sep 2000', '30 Jun 2001', 2, 0, 1) NumDaysPeriod = 184 Maturity = ['30 Apr 2001'; '31 May 2001'; '30 Jun 2001']; NumDaysPeriod = cpnpersz('14 Sep 2000', Maturity) NumDaysPeriod = 184 183 184 See Also accrfrac, cfamounts, cfdates, cpncount, cpndaten, cpndatenq, cpndatep, cpndatepq, cpndaysn, cpndaysp 14-199 createholidays Purpose Syntax Create trading calendars createholidays(Filename, Codefile, InfoFile, TargetDir, IncludeWkds, Wprompt, NoGUI) Arguments Filename Codefile InfoFile TargetDir IncludeWkds The data file name. Values are: · 0 ­ Do not include weekends in the holiday list. Option to prompt for the file location for each holiday. m file that is created. Run createholidays function without displaying the Trading Calendars graphical user interface. · 1 ­ Do not display the GUI. Wprompt NoGUI 14-200 createholidays Description createholidays(Filename, Codefile, InfoFile, TargetDir, IncludeWkds, Wprompt, NoGUI) programatically generates the market-specific holidays. m files without displaying the interface. createholidays('FinancialCalendar\My_datafile. csv', . . . 'FinancialCalendar\My_infofile. csv', 'c:\work', 1, 1, 1) Examples will create holidays*. m files from My_datafile. csv in the directory c:\work. Weekends will be included in the holidays list based on the input flag INCLUDEWDKS = 1. Note To use createholidays, you must obtain data, codes, and info files from http://www. FinancialCalendar. com trading calendars. See Also holidays 14-201 cumsum Purpose Syntax Description Cumulative sum newfts = cumsum(oldfts) newfts = cumsum(oldfts) calculates the cumulative sum of each individual time series data series in the financial time series object oldfts and returns the result in another financial time series object newfts. newfts contains the same data series names as oldfts. Examples Compute the cumulative sum for Disney stock and plot the results: load disney. mat cs_dis = cumsum(fillts(dis)); plot(cs_dis) title('Cumulative Sum for Disney') 14-202 cumsum See Also cumsum in the MATLAB documentation 14-203 cur2frac Purpose Syntax Description Examples Decimal currency values to fractional values Fraction = cur2frac(Decimal, Denominator) Fraction = cur2frac(Decimal, Denominator) converts decimal currency values to fractional values. Fraction = cur2frac(12. 125, 8) returns Fraction = 12. 1, a string. See Also cur2str, frac2cur 14-204 cur2str Purpose Syntax Description Bank-formatted text String = cur2str(Value, Digits) String = cur2str(Value, Digits) returns the given value in bank format. String = cur2str(-8264, 2) Examples returns String = ($8264. 00) See Also cur2frac, frac2cur 14-205 date2time Purpose Syntax Time and frequency from dates [TFactors, F] = date2time(Settle, Maturity, Compounding, Basis, EndMonthRule) Arguments Settle Maturity Compounding Settlement date. Scalar value representing the rate at which the input zero rates were compounded when annualized. This argument determines the formula for the discount factors: · Compounding = 1, 2, 3, 4, 6, 12 · Disc = (1 + Z/F)^(-T), where F is the compounding frequency, Z is the zero rate, and T is the time in periodic units, for example, T = F is one year. · Compounding = 365 · Disc = (1 + Z/F)^(-T), where F is the number of days in the basis year and T is a number of days elapsed computed by basis. · Compounding = -1 · Disc = exp(-T*Z), where T is time in years. 14-206 date2time Basis (Optional) Day-count basis of the instrument. · 0 = actual/actual (default) · 1 = 30/360 (SIA) · 2 = actual/360 · 3 = actual/365 · 4 = 30/360 (PSA) · 5 = 30/360 (ISDA) · 6 = 30/360 (European) · 7 = actual/365 (Japanese) · 8 = actual/actual (ISMA) · 9 = actual/360 (ISMA) · 10 = actual/365 (ISMA) · 11 = 30/360E (ISMA) · 12 = actual/365 (ISDA) · 13 = BUS/252 (Optional) End-of-month rule. This rule applies only when Maturity is an end-of-month date for a month having 30 or fewer days. 0 = ignore rule, meaning that a bond's coupon payment date is always the same numerical day of the month. 1 = set rule on (default), meaning that a bond's coupon payment date is always the last actual day of the month. EndMonthRule 14-207 date2time Description [TFactors, F] = date2time(Settle, Maturity, Compounding, Basis, EndMonthRule) computes time factors appropriate to compounded rate quotes between the settlement and maturity dates. TFactors is a vector of time factors. date2time is the inverse of time2date. See Also cftimes, disc2rate, rate2disc, time2date 14-208 dateaxis Purpose Syntax Arguments Convert serial-date axis labels to calendar-date axis labels dateaxis(Aksis, DateForm, StartDate) Aksis DateForm (Optional) Determines which axis tick labels--x, y, or z--to replace. [. . . ] spot rate The current interest rate appropriate for discounting a cash flow of some given maturity. spread For options, a combination of call or put options on the same stock with differing exercise prices or maturity dates. standard deviation A measure of the variation in a distribution, equal to the square root of the arithmetic mean of the squares of the deviations from the arithmetic mean; the square root of the variance. Glossary-11 Glossary stochastic Involving or containing a random variable or variables; involving chance or probability. It involves simultaneously purchasing put and call options with the same exercise price and expiration date, and it is most profitable when the price of the underlying security is very volatile. [. . . ]