matlabquantitative-financecomputational-finance

Matlab: How to specify Coupon frequency for Interest Rate Swap

Although I believe that Quantitative Finance Forum is more relevant for this question, as this is far more popular, I'll let myself to ask same question here.

I'm trying to price an interest rate swap and would like to change the default coupon payment frequency from 1 a year to 2 or 4 a year. I'm using

Price = swapbyzero(RateSpec, LegRate, i, Maturity, 'Principal', Principal);

and tried

Price = swapbyzero(RateSpec, LegRate, i, Maturity, 'Principal', Principal,'Period',2);

where 'Period' is a valid option when pricing bond using

prbyzero

I'm using matlab 2013a

Solution

  • The optional input pair is 'LegReset' and set it to [n n], where n is the frequency of payments.