MATLAB: Bnddury function / Financial toolbox

Financial Toolboxfixed income

If I set the following: Yield=0.11245;CouponRate=0.175;Settle='04-Apr-12';Maturity='04-Oct-13';Period=12;Basis=0;… EndMonthRule=1;IssueDate='04-Apr-12';FirstCouponDate='04-Oct-13';LastCouponDate='04-Oct-13';… StartDate='04-Apr-12';Face=10654.48;

[ModDuration, YearDuration, PerDuration] = bnddury(Yield,CouponRate, Settle, Maturity,… Period, Basis, EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate,StartDate,Face)

I get the following answer (quote): ??? Undefined function or variable "CFMQDates".

Error in ==> cfamounts at 739 CFMask = CFMQDates(Ind,:) <= Settle(Ind, ones(1,size(CFMQDates,2)));

Error in ==> bnddury at 187 [CFlowAmounts, ~, TFactors] = cfamounts(CouponRate, Settle, Maturity, varargin{:});

Error in ==> MyDurr at 28 [ModDuration, YearDuration, PerDuration] = bnddury(Yield,CouponRate, Settle, Maturity,…

(unquote)

If I set Period=0 than it is okay. What is the problem there? Can it be debugged (try and catch possibly)?

Best Answer

Well it looks like CFMQDates has not been assigned to anything before you attempt to use it. Of course it can be debugged. Set a breakpoint and then use F10 to step on/over lines/functions and F11 to step inside functions. For more debugging help, go here: http://blogs.mathworks.com/videos/2012/07/03/debugging-in-matlab/

Related Solutions

MATLAB: What does the first cash flow value signify when I calculate the cash flows for a bond using cfamounts function in Financial Toolbox 4.1 (R2011b)

The values mentioned in the first cash flows (the first lines in each of the respective results above) are accrued interests. When buying a bond between coupon dates (cash flow dates), you have to pay for the fraction of the coupon that is proportional to the amount of time since the last coupon date which is approximately,

     ( now - last coupon date) / (next coupon date - last coupon date)

So, in scenario (A) above, the accrued interest is 0 because the settlement date falls on a coupon date (nothing has accrued). In scenario (B), the accrued interest is close to 6, because the settle date ('1-Dec-2011') is almost reaching the next coupon date ('31-Dec-2011'). The number is negative because while you are receiving the coupons (i.e. 6, 6, 106, an incoming cash flow), you need to pay the accrued interest (it is an outgoing cash flow).

MATLAB: How the oasbyhw function supports for stepped coupon bonds

The help documentation for "oasbyhw" function doesn't provide an example of how to use stepped coupon bonds. Below is a simple demo that could help you understand the usage of this feature, the key part is providing the coupon schedule as part of the "CouponRate" input.

% Zero Curve
Settle = datenum('15-Jun-2020');
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = datemnth(Settle,[6 12*[1 2 3 4 5 7 10 20 30]]');
myRC = intenvset('Rates',ZeroRates,'StartDate',Settle,'EndDates',ZeroDates,...
'Basis',3,'Compounding',1);
% Bond information
CouponRate = {{'15-Jun-2025' .02;'15-Jun-2040' .03}};
Maturity = datenum('15-Jun-2040');
Price = 90;
ExerciseDates = [datenum('15-Jun-2034') datenum('15-Jun-2035') datenum('15-Jun-2036')];
Strikes = 100;
Period = 1;
% Build HW tree
AlphaHW = .1;
VolHW = .01;
myVolSpec = hwvolspec(Settle,Maturity,VolHW,Maturity,AlphaHW);
myTimeSpec = hwtimespec(Settle,cfdates(Settle,Maturity,Period),Period);
myHWTree = hwtree(myVolSpec,myRC,myTimeSpec);
% Compute OAS
[OAS,OAD,OAC] = oasbyhw(myHWTree,Price,CouponRate,Settle,Maturity,'call',Strikes,ExerciseDates,'Period')

Best Answer

Related Solutions

MATLAB: What does the first cash flow value signify when I calculate the cash flows for a bond using cfamounts function in Financial Toolbox 4.1 (R2011b)

MATLAB: How the oasbyhw function supports for stepped coupon bonds

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