MATLAB: Does the PYLD2ZERO function in the Financial Toolbox 2.3 (R13) work improperly when ‘CurveDates(1)==Settle’

bugfinancialFinancial Toolboxpyld2zerotoolbox

The PYLD2ZERO function in the Financial Toolbox 2.3 (R13) works improperly when 'CurveDates(1)==Settle'.

Best Answer

This bug has been fixed for Release 14 (R14). For previous releases, please read below for any possible workarounds:

This is a bug in the Financial Toolbox 2.3 (R13) in the way that ZeroRates are calculated. Our development staff is currently investigating this issue.

To work around this issue, change line 180 of PYLD2ZERO from:

ZeroRatesZP(2:end+1) = ZeroRates;

to:

ZeroRatesZP(2:end+1) = ZeroRatesZP;

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MATLAB: What solution method does the ZERO2PYLD function use in the Financial Toolbox

The method used for calculating the yield in ZERO2PYLD uses a method similar to the Nielson-Siegel method. The function use the idea of a nonlinear fitting method. It performs a nonlinear fit using the FSOLVE function. The equation that we try to fit the curve to is:

    CashPrice = Sum_i { (Coupon_i/2) * (1+ZeroRate_i/2)^TimeFactor_i }

FSOLVE solves a system of nonlinear equations using an interior-reflective Newton method.

MATLAB: Does HULLWHITE1F show negative forward rates when the input zero rates are all positive in Financial Instruments Toolbox 1.1 (R2013a)

There is a bug in HULLWHITE1F. m in Financial Instruments Toolbox 1.1 (R2013a). To work around this issue, download the attached version of the HullWhite1F.m file. Here are the steps:

1. Find the $MATLABROOT directory where $MATLABROOT is the MATLAB root directory on your machine, as returned by executing:

>> matlabroot

at the MATLAB Command Prompt.

2. Quit MATLAB.

3. Rename the following M-file:

$MATLABROOT\toolbox\fininst\fininst\HullWhite1F.m

Rename the file to HULWHITE1F.m.old

4. Download the attached file(s). Place the new file(s) in the same directory mentioned in step 3.

5. Restart MATLAB

6. After restarting MATLAB, issue the following command at the MATLAB Command Prompt:

>> rehash toolboxcache

Best Answer

Related Solutions

MATLAB: What solution method does the ZERO2PYLD function use in the Financial Toolbox

MATLAB: Does HULLWHITE1F show negative forward rates when the input zero rates are all positive in Financial Instruments Toolbox 1.1 (R2013a)

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