tailieunhanh - Financial Toolbox For Use with MATLAB Computation Visualization Programming phần 10

Đầu ra obasis ngày số cơ sở cho việc lập bản đồ dòng tiền ngày năm, trong việc tạo đầu ra không tỷ lệ trong ZR. Một vô hướng. 0 = thực tế / thực tế (mặc định), 1 = 30/360, 2 = actual/360, 3 = actual/365. maxiter số lần lặp tối đa cho việc suy luận ra mức số không trong ZR. Một vô hướng. Mặc định = 50. Một giá trị lớn hơn 50 có thể làm chậm xử lý. | zbtyield ocomp Output compounding. A scalar that sets the compounding frequency per year for the output zero rates in zr. Allowed values are 1 annual compounding 2 semi-annual compounding default 3 compounding three times per year 4 quarterly compounding 6 bimonthly compounding 12 monthly compounding obasis Output day-count basis for mapping cash-flow dates to years in generating the output zero rates in zr. A scalar. 0 actual actual default 1 30 360 2 actual 360 3 actual 365. maxiter Maximum number of iterations for deriving the zero rates in zr. A scalar. Default 50. A value greater than 50 may slow processing. Description zr cd zbtyield bonds y sd ocomp obasis maxiter uses the bootstrap method to return a zero curve given a portfolio of coupon bonds and their yields. A zero curve consists of the yields to maturity for a portfolio of theoretical zero-coupon bonds that are derived from the input bonds portfolio. The bootstrap method that this function uses does not require alignment among the cash-flow dates of the bonds in the input portfolio. It uses theoretical par bond arbitrage and yield interpolation to derive all zero rates. For best results use a portfolio of at least 30 bonds evenly spaced across the investment horizon. zr Zero rates. An M-by-1 vector of decimal fractions that are the implied zero rates for each point along the investment horizon represented by cd. In aggregate the rates in zr constitute a zero curve. If more than one bond has the same maturity date zbtyield returns the mean zero rate for that maturity. cd Curve dates. An M-by-1 vector of unique maturity dates as serial date numbers that correspond to the zero rates in zr. These dates begin with the earliest maturity date and end with the latest maturity date md in the bonds matrix. Use datestr to convert serial date numbers to date strings. 2-262 zbtyield Example Given data and yields to maturity for 12 coupon bonds two with the same maturity date and given the common settlement date .