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Price an Instrument Portfolio

Create and price portfolio of instruments

The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

Use finportfolio to create a portfolio object and then use pricePortfolio to calculate the price and sensitivities of all instruments in the portfolio.

Objects

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finportfolioCreate a finportfolio object

Functions

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pricePortfolioCompute price and sensitivities for portfolio of instruments
setPricerSet pricer for finportfolio object
addInstrumentAdd instrument to portfolio of instruments
removeInstrumentRemove instrument from portfolio of instruments

Examples and How To

Create and Price Portfolio of Instruments

Use finportfolio and pricePortfolio to create and price a portfolio of interest-rate and equity instruments.

Price Portfolio of Bond and Bond Option Instruments

This example shows the workflow to create and price a portfolio of bond and bond option instruments.

Concepts

Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments

Use objects to model and price financial instruments.

Choose Instruments, Models, and Pricers

Select instruments, associated models, and associated pricers.

Mapping Financial Instruments Toolbox Functions to Object-Based Framework for Instruments, Models, and Pricers

Mapping functions to a workflow using objects for instruments, models, and pricers.

Supported Exercise Styles

The following table lists the interest-rate instrument objects with their associated models and pricers and supported Exercise styles.

Featured Examples