STIRFuture

STIRFuture instrument object

Since R2021b

Description

Create and price a STIRFuture instrument object for one or more STIR future instruments using this workflow:

1. Use fininstrument to create a STIRFuture instrument object for one or more STIR future instruments.

2. Use ratecurve to specify an interest-rate model for the STIRFuture instrument object.

3. Use finpricer to specify a Discount pricing method for one or more STIRFuture instruments.

Create a STIRFuture instrument object for one or more STIR future instruments to use in curve construction using this workflow:

1. Use fininstrument to create a STIRFuture instrument object for one or more STIR future instruments.

2. Use irbootstrap to create an interest-rate curve (ratecurve) for one or more STIRFuture instruments. In addition, you can use the irbootstrap optional name-value input argument ConvexityAdjustment to specify a convexity adjustment for the STIRFuture instruments.

For more information on these workflows, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

For more information on the available models and pricing methods for a STIRFuture instrument, see Choose Instruments, Models, and Pricers.

Creation

Syntax

STIRFutureInst = fininstrument(InstrumentType,QuotedPrice=quoted_stir_price,Maturity=maturity_date,RateEndDate=rate_end_date)

STIRFutureInst = fininstrument(___,Name=Value)

Description

STIRFutureInst = fininstrument(InstrumentType,QuotedPrice=quoted_stir_price,Maturity=maturity_date,RateEndDate=rate_end_date) creates a STIRFuture object for one or more STIR future instruments by specifying InstrumentType, QuotedPrice, Maturity, and EndDate.

STIRFutureInst = fininstrument(___,Name=Value) sets optional properties using additional name-value arguments in addition to the required arguments in the previous syntax. For example, STIRFutureInst = fininstrument("STIRFuture",QuotedPrice=99.5,Maturity=datetime(2022,12,15),RateEndDate=datetime(2022,6,15)) creates a STIR future instrument. You can specify multiple name-value arguments.

Input Arguments

InstrumentType — Instrument type

string with value "STIRFuture" | string array with values of "STIRFuture" | character vector with value 'STIRFuture' | cell array of character vectors with values of 'STIRFuture'

Instrument type, specified as a string with the value of "STIRFuture", a character vector with the value of 'STIRFuture', an NINST-by-1 string array 'with values of "STIRFuture", or an NINST-by-1 cell array of character vectors with values of 'STIRFuture'.

Data Types: char | cell | string

Name-Value Arguments

Specify required and optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Example: STIRFutureInst = fininstrument("STIRFuture",QuotedPrice=99.5,Maturity=datetime(2022,12,15),RateEndDate=datetime(2022,6,15))

Required STIRFuture Name-Value Arguments

QuotedPrice — STIR future quoted price

scalar numeric | numeric vector

STIR future quoted price, specified as QuotedPrice and a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

Maturity — STIR future maturity date

datetime array | string array | date character vector

STIR future maturity date, specified as Maturity and a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, STIRFuture also accepts serial date numbers as inputs, but they are not recommended.

If you use date character vectors or strings, the format must be recognizable by datetime because the Maturity property is stored as a datetime.

RateEndDate — STIR future underlying rate end date

datetime array | string array | date character vector

STIR future underlying rate end date, specified as RateEndDate and a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, STIRFuture also accepts serial date numbers as inputs, but they are not recommended.

If you use date character vectors or strings, the format must be recognizable by datetime because the RateEndDate property is stored as a datetime.

Optional STIRFuture Name-Value Arguments

Basis — Day count basis

0 (actual/actual) (default) | scalar integer from 0 to 13 | vector of integers from 0 to 13

Day count basis, specified as Basis and a scalar integer or an NINST-by-1 vector of integers for the following:

• 0 — actual/actual

• 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 (ICMA)

• 9 — actual/360 (ICMA)

• 10 — actual/365 (ICMA)

• 11 — 30/360E (ICMA)

• 12 — actual/365 (ISDA)

• 13 — BUS/252

For more information, see Basis.

Data Types: double

Notional — Notional principal amount

100 (default) | scalar numeric | numeric vector

Notional principal amount, specified as Notional and a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

BusinessDayConvention — Business day convention for cash flow dates

"actual" (default) | string | string array | character vector | cell array of character vectors

Business day convention for cash flow dates, specified as BusinessDayConvention and a scalar string or character vector or an NINST-by-1 cell array of character vectors or string array. The selection for business day convention determines how nonbusiness days are treated. Nonbusiness days are defined as weekends plus any other date that businesses are not open (for example, statutory holidays). Values are:

• "actual" — Nonbusiness days are effectively ignored. Cash flows that fall on nonbusiness days are assumed to be distributed on the actual date.

• "follow" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day.

• "modifiedfollow" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the following business day. However, if the following business day is in a different month, the previous business day is adopted instead.

• "previous" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day.

• "modifiedprevious" — Cash flows that fall on a nonbusiness day are assumed to be distributed on the previous business day. However, if the previous business day is in a different month, the following business day is adopted instead.

Data Types: char | cell | string

Holidays — Holidays used in computing business days

NaT (default) | datetime array | string array | date character vector

Holidays used in computing business days, specified as Holidays and dates using an NINST-by-1 vector of a datetime array, string array, or date character vectors. For example:

H = holidays(datetime('today'),datetime(2025,12,15));
STIRFutureInst = fininstrument("STIRFuture",Maturity=datetime(2022,12,15),QuotedPrice=99.5,ExerciseDate=datetime(2022,6,15),Holidays=H)

To support existing code, STIRFuture also accepts serial date numbers as inputs, but they are not recommended.

ProjectionCurve — Projection curve used to price STIR future

ratecurve.empty (default) | ratecurve object | vector of ratecurve objects

Projection curve used to price STIR future, specified as ProjectionCurve and a scalar ratecurve object or an NINST-by-1 vector of ratecurve objects. These objects must be created using ratecurve. Use this optional input if the forward curve is different from the discount curve.

Data Types: object

Name — User-defined name for instrument

"" (default) | string | character vector

User-defined name for the instrument, specified as Name and a scalar string or character vector or an NINST-by-1 cell array of character vectors or string array.

Data Types: char | cell | string

Properties

QuotedPrice — STIR future quoted price

scalar numeric | numeric vector

STIR Future quoted price, returned as a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

Maturity — STIR future maturity date

datetime | vector of datetimes

STIR future maturity date, returned as a scalar datetime or an NINST-by-1 vector of datetimes.

Data Types: datetime

RateEndDate — STIR future underlying rate end date

datetime | vector of datetimes

STIR future underlying rate end date, returned as a scalar datetime or an NINST-by-1 vector of datetimes.

Data Types: datetime

Basis — Day count basis

0 (actual/actual) (default) | scalar integer from 0 to 13 | vector of integers from 0 to 13

Day count basis, returned as a scalar integer or an NINST-by-1 vector of integers.

Data Types: double

Notional — Notional principal amount

100 (default) | scalar numeric | numeric vector

Notional principal amount, returned as a scalar numeric or an NINST-by-1 numeric vector.

Data Types: double

BusinessDayConvention — Business day convention for cash flow dates

"actual" (default) | scalar string | string array

Business day convention for cash flow dates, returned as a scalar string or an NINST-by-1 string array.

Data Types: string

Holidays — Holidays used in computing business days

NaT (default) | datetimes

Holidays used in computing business days, returned as an NINST-by-1 vector of datetimes.

Data Types: datetime

ProjectionCurve — Projection curve used to price STIR future

ratecurve.empty (default) | ratecurve object | vector of ratecurve objects

Projection curve used to price STIR future, returned as a scalar ratecurve object or an NINST-by-1 vector of ratecurve objects.

Data Types: object

Name — User-defined name for instrument

"" (default) | string | string array

User-defined name for the instrument, returned as a string or an NINST-by-1 string array.

Data Types: string

Object Functions

cashflows

Compute cash flow for FixedBond, FloatBond, Swap, FRA, STIRFuture, OISFuture, OvernightIndexedSwap, or Deposit instrument

Examples

Price STIRFuture Instrument Using ratecurve and Discount Pricer

This example shows the workflow to price a STIRFuture instrument when you use a ratecurve object and a Discount pricing method.

Create ratecurve Object

Create a ratecurve object using ratecurve for the underlying interest-rate curve for the STIRFuture instrument.

Settle = datetime(2019,9,15);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)

myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Sep-2019
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create STIRFuture Instrument Object

Use fininstrument to create a STIRFuture instrument object.

STIRFuture = fininstrument("STIRFuture",Maturity=datetime(2022,9,15),QuotedPrice=99.5,RateEndDate=datetime(2022,12,15),Notional=500,Name="stir_future_instrument")

STIRFuture = 
  STIRFuture with properties:

              QuotedPrice: 99.5000
                    Basis: 2
              RateEndDate: 15-Dec-2022
                 Maturity: 15-Sep-2022
                 Notional: 500
    BusinessDayConvention: "actual"
                 Holidays: NaT
          ProjectionCurve: [0x0 ratecurve]
                     Name: "stir_future_instrument"

Create Discount Pricer Object

Use finpricer to create a Discount pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("Discount",DiscountCurve=myRC)

outPricer = 
  Discount with properties:

    DiscountCurve: [1x1 ratecurve]

Price STIRFuture Instrument

Use price to compute the price and sensitivities for the STIRFuture instrument.

[Price, outPR] = price(outPricer,STIRFuture,["all"])

Price = 
97.3030

outPR = 
  priceresult with properties:

       Results: [1x2 table]
    PricerData: []

outPR.Results

ans=1×2 table
    Price       DV01  
    ______    ________

    97.303    0.041513

Price Multiple STIRFuture Instruments Using ratecurve and Discount Pricer

This example shows the workflow to price multiple STIRFuture instruments when you use a ratecurve object and a Discount pricing method.

Create ratecurve Object

Create a ratecurve object using ratecurve for the underlying interest-rate curve for the STIRFuture instrument.

Settle = datetime(2019,9,15);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)

myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Sep-2019
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"

Create STIRFuture Instrument Object

Use fininstrument to create a STIRFuture instrument object for three STIR future instruments.

STIRFuture = fininstrument("STIRFuture",Maturity=datetime([2022,4,15 ; 2022,5,15 ; 2022,6,15]),QuotedPrice=[99.5 ; 101 ; 105],RateEndDate=datetime([2022,7,15 ; 2022,8,15 ; 2022,9,15]),Notional=500,Name="stir_future_instrument")

STIRFuture=3×1 STIRFuture array with properties:
    QuotedPrice
    Basis
    RateEndDate
    Maturity
    Notional
    BusinessDayConvention
    Holidays
    ProjectionCurve
    Name

Create Discount Pricer Object

Use finpricer to create a Discount pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

outPricer = finpricer("Discount",DiscountCurve=myRC)

outPricer = 
  Discount with properties:

    DiscountCurve: [1x1 ratecurve]

Price STIRFuture Instruments

Use price to compute the prices for the STIRFuture instruments.

Price = price(outPricer,STIRFuture)

Price = 3×1

   98.2155
   98.8120
   97.6983

More About

STIR Future

A STIR future is a short-term interest-rate future that allows market participants to speculate or hedge against changes in short-term interest rates.

A STIR future is based on a specific short-term interest rate benchmark, which represents the reference rate at which banks lend to each other in the interbank market. Common benchmarks include LIBOR, Euribor, or other regional interbank offered rates.

A STIR future is a cash settled derivative contract on a specified term interest rate paid on a notional deposit. The price of a STIR future is quoted as 100.00 minus the rate of interest, meaning there is an inverse relationship between the direction in which the underlying interest rate is expected to move and the value of the contract.

To support the LIBOR transition, the STIRFuture instrument supports the adoption of alternative reference rates (ARR) like SOFR, EONIA, SONIA, SARON, and TONAR. The ARRs replace the LIBOR benchmark, which underpins many loans, mortgages, bonds, and interest-rate derivatives. For an example, see Compute LIBOR Fallback.

Version History

Introduced in R2021b

R2022b: Serial date numbers not recommended

Although STIRFuture supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.