bndkrdur - Bond key rate duration given zero curve

ZeroData

Zero curve represented as a numRates-by-2 matrix where the first column is a MATLAB date number and the second column is accompanying zero rates.

CouponRate

numBonds-by-1 vector of coupon rates in decimal form.

Settle

Scalar MATLAB date number for the settlement date for all the bonds and the zero data. Settle must be the same settlement date for all the bonds and the zero curve.

Maturity

numBonds-by-1 vector of maturity dates.

Period

(Optional) Coupons per year of the bond. A vector of integers. Acceptable values are 0, 1, 2 (default), 3, 4, 6, and 12.

InterpMethod

(Optional) Interpolation method used to obtain points from the zero curve. Acceptable values are:

• 'linear' (default)

• 'cubic'

• 'pchip'

ShiftValue

(Optional) Scalar value that zero curve is shifted up and down to compute duration. Default is .01 (100 basis points).

KeyRates

(Optional) Rates to perform the duration calculation, specified as a time to maturity. By default, KeyRates is set to each of the zero dates.

CurveCompounding

(Optional) Compounding frequency of the curve. Default is semiannual.

CurveBasis

(Optional) Basis of the curve, where the choices are identical to Basis below. Default is 0 (actual/actual).

Basis

(Optional) Day-count basis of the bond instrument. A vector of integers:

• 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

EndMonthRule

(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. The values are:

• 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.

IssueDate

(Optional) Date when a bond was issued.

FirstCouponDate

(Optional) Date when a bond makes its first coupon payment. When you specify both FirstCouponDate and LastCouponDate, FirstCouponDate takes precedence in determining the coupon payment structure.

LastCouponDate

(Optional) Last coupon date of a bond before the maturity date. In the absence of a specified FirstCouponDate, a specified LastCouponDate determines the coupon structure of the bond. The coupon structure of a bond is truncated at the LastCouponDate regardless of where it falls and will be followed only by the bond's maturity cash flow date.

StartDate

(Optional) Date when a bond actually starts (the date from which a bond cash flow is considered). To make an instrument forward-starting, specify this date as a future date. If you do not specify StartDate, the effective start date is the Settle date.

Face

(Optional) Face or par value. Default = 100. Face has no impact on key rate duration.