In Xanadu by William Dalrymple

Dalrymple is my best friend. And he told me all about the three magi being Zorastrian priests, the frankincense, myrrh and gold representing something or other (either Jesus will be healer, king or something else depending on the gift he'd accept -- and he accepted all of them), the Zoroastrian prophecy of the messiah being born to a virgin and the sign being a star in the sky. Was Matthew from the Gospel according to Matthew a Zoroastrian?