MATLAB® > Financial Charts > Waterfall Plots
Suggest an edit to this page

Waterfall Plots in MATLAB®

How to make Waterfall Plots in MATLAB® with Plotly.


Plot Cash Flows

Define CFlowAmounts and CFlowDates using the cfamounts function. 

CouponRate = [0.06; 0.05; 0.03];
Settle = '03-Jun-1999';
Maturity = ['15-Aug-2000';'15-Dec-2000';'15-Jun-2000'];
Period = [1; 2; 2];  Basis = [1; 0; 0];
[CFlowAmounts, CFlowDates] = cfamounts(CouponRate, Settle, Maturity, Period, Basis);

Plot all cash flows on the same axes, and label the first two. 

CouponRate = [0.06; 0.05; 0.03];
Settle = '03-Jun-1999';
Maturity = ['15-Aug-2000';'15-Dec-2000';'15-Jun-2000'];
Period = [1; 2; 2];  Basis = [1; 0; 0];
[CFlowAmounts, CFlowDates] = cfamounts(CouponRate, Settle, Maturity, Period, Basis);

cfplot(CFlowDates, CFlowAmounts, 'ShowAmnt', [1 2])

fig2plotly(gcf);

Group the second and third cash flows. 

CouponRate = [0.06; 0.05; 0.03];
Settle = '03-Jun-1999';
Maturity = ['15-Aug-2000';'15-Dec-2000';'15-Jun-2000'];
Period = [1; 2; 2];  Basis = [1; 0; 0];
[CFlowAmounts, CFlowDates] = cfamounts(CouponRate, Settle, Maturity, Period, Basis);

figure;
cfplot(CFlowDates, CFlowAmounts, 'Groups', {[2 3]}, 'ShowAmnt', 1);

fig2plotly(gcf);

Format the date axis and place ticks on actual cash flow dates. 

CouponRate = [0.06; 0.05; 0.03];
Settle = '03-Jun-1999';
Maturity = ['15-Aug-2000';'15-Dec-2000';'15-Jun-2000'];
Period = [1; 2; 2];  Basis = [1; 0; 0];
[CFlowAmounts, CFlowDates] = cfamounts(CouponRate, Settle, Maturity, Period, Basis);

figure;
cfplot(CFlowDates, CFlowAmounts, 'Groups', {[2 3]}, 'ShowAmnt', 1, 'DateFormat', 6, 'DateSpacing', 100);

fig2plotly(gcf);

Stack the cash flow arrows occurring on the same dates. 

CouponRate = [0.06; 0.05; 0.03];
Settle = '03-Jun-1999';
Maturity = ['15-Aug-2000';'15-Dec-2000';'15-Jun-2000'];
Period = [1; 2; 2];  Basis = [1; 0; 0];
[CFlowAmounts, CFlowDates] = cfamounts(CouponRate, Settle, Maturity, Period, Basis);

figure;
cfplot(CFlowDates, CFlowAmounts, 'Groups', {[2 3]}, 'ShowAmnt', 1, 'DateFormat', 6, 'DateSpacing', 100, 'Stacked', 1);

fig2plotly(gcf);

Form subplots of multiple groups and add titles using axes handles. 

CouponRate = [0.06; 0.05; 0.03];
Settle = '03-Jun-1999';
Maturity = ['15-Aug-2000';'15-Dec-2000';'15-Jun-2000'];
Period = [1; 2; 2];  Basis = [1; 0; 0];
[CFlowAmounts, CFlowDates] = cfamounts(...
CouponRate, Settle, Maturity, Period, Basis);

figure;
[h, axes_handle] = cfplot(CFlowDates, CFlowAmounts, 'Groups', {[1] [2 3]}, 'ShowAmnt', 1, 'Stacked', 2, 'DateSpacing', [1 60 2 100], 'DateFormat', [1 12 2 6]);
title(axes_handle(1), 'Group 1', 'FontWeight', 'bold');
title(axes_handle(2), 'Group 2', 'FontWeight', 'bold');

fig2plotly(gcf);

Plot Cash Flows Using datetime Input for CFlowDates

Define CFlowDates using datetime input and plot the cash flow. 

CouponRate = [0.06; 0.05; 0.03];
Settle = '03-Jun-1999';
Maturity = ['15-Aug-2000';'15-Dec-2000';'15-Jun-2000'];
Period = [1; 2; 2];  Basis = [1; 0; 0];
[CFlowAmounts, CFlowDates] = cfamounts(CouponRate, Settle, Maturity, Period, Basis);
cfplot(datetime(CFlowDates,'ConvertFrom','datenum','Locale','en_US'), CFlowAmounts, 'ShowAmnt', [1 2])

fig2plotly(gcf);

Plot Cash Flows for Swap

Define the swap using the swapbyzero function. 

Settle = datenum('08-Jun-2010');
RateSpec = intenvset('Rates', [.005 .0075 .01 .014 .02 .025 .03]', 'StartDates',Settle, 'EndDates',{'08-Dec-2010','08-Jun-2011', '08-Jun-2012','08-Jun-2013','08-Jun-2015','08-Jun-2017', '08-Jun-2020'}');
Maturity = datenum('15-Sep-2020');
LegRate = [.025 50];
LegType = [1 0]; % fixed/floating
LatestFloatingRate = .005;
[Price, SwapRate, AI, RecCF, RecCFDates, PayCF,PayCFDates] = swapbyzero(RateSpec, LegRate, Settle, Maturity,'LegType',LegType,'LatestFloatingRate',LatestFloatingRate);

Define CFlowDates and CFlowAmounts for the swap and generate a cash flow plot using cfplot. 

Settle = datenum('08-Jun-2010');
RateSpec = intenvset('Rates', [.005 .0075 .01 .014 .02 .025 .03]','StartDates',Settle, 'EndDates',{'08-Dec-2010','08-Jun-2011','08-Jun-2012','08-Jun-2013','08-Jun-2015','08-Jun-2017','08-Jun-2020'}');
Maturity = datenum('15-Sep-2020');
LegRate = [.025 50];
LegType = [1 0]; % fixed/floating
LatestFloatingRate = .005;
[Price, SwapRate, AI, RecCF, RecCFDates, PayCF,PayCFDates] = swapbyzero(RateSpec, LegRate, Settle, Maturity,'LegType',LegType,'LatestFloatingRate',LatestFloatingRate);

CFlowDates = [PayCFDates;RecCFDates];
CFlowAmounts = [-PayCF;RecCF];
cfplot(CFlowDates, CFlowAmounts, 'Groups', {[1 2]});
xlabel('Numeric Cash Flow Dates');

fig2plotly(gcf);