addInstrument
Syntax
Description
adds the instrument outPort
= addInstrument(inPort
,inInst
)inInst
to a portfolio inPort
of
instruments previously created using finportfolio
.
adds the instrument outPort
= addInstrument(inPort
,inInst
,inPricer
)inInst
and the associated pricer
inPricer
to a portfolio inPort
of instruments
previously created using finportfolio
.
Examples
Add Instruments to Portfolio
Use finportfolio
to create an empty portfolio and then use addInstrument
to add instruments to the portfolio.
Create FixedBond
Instrument Objects
Use fininstrument
to create two FixedBond
instrument objects.
FixB1 = fininstrument("FixedBond", 'Maturity',datetime(2022,9,15),'CouponRate',0.045,'Name',"fixed_bond1")
FixB1 = FixedBond with properties: CouponRate: 0.0450 Period: 2 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 15-Sep-2022 Name: "fixed_bond1"
FixB2 = fininstrument("FixedBond", 'Maturity',datetime(2022,9,15),'CouponRate',0.035,'Name',"fixed_bond2")
FixB2 = FixedBond with properties: CouponRate: 0.0350 Period: 2 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 15-Sep-2022 Name: "fixed_bond2"
Create ratecurve
Object
Create a ratecurve
object using ratecurve
.
Settle = datetime(2018,9,15); 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-2018 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create Discount
Pricer Object for FixedBond
Instruments
Use finpricer
to create a Discount
pricer object and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
DiscountPricer = finpricer("Discount", 'DiscountCurve',myRC)
DiscountPricer = Discount with properties: DiscountCurve: [1x1 ratecurve]
Add Instruments to finportfolio
Object
Create an empty finportfolio
object using finportfolio
and then use addInstrument
to put the FixedBond
instruments into the portfolio.
f1 = finportfolio; f1 = addInstrument(f1,FixB1)
f1 = finportfolio with properties: Instruments: [1x1 fininstrument.FixedBond] Pricers: [0x1 finpricer.FinPricer] PricerIndex: NaN Quantity: 1
f1 = addInstrument(f1,FixB2)
f1 = finportfolio with properties: Instruments: [2x1 fininstrument.FixedBond] Pricers: [0x1 finpricer.FinPricer] PricerIndex: [2x1 double] Quantity: [2x1 double]
Set Pricer for Portfolio
Use setPricer
to set the pricer for the portfolio and then use pricePortfolio
to calculate the price and sensitivities for the instruments in the portfolio.
f1 = setPricer(f1,DiscountPricer,[1,2])
f1 = finportfolio with properties: Instruments: [2x1 fininstrument.FixedBond] Pricers: [1x1 finpricer.Discount] PricerIndex: [2x1 double] Quantity: [2x1 double]
[PortPrice,InstPrice,PortSens,InstSens] = pricePortfolio(f1)
PortPrice = 224.0834
InstPrice = 2×1
114.0085
110.0749
PortSens=1×2 table
Price DV01
______ ________
224.08 0.084139
InstSens=2×2 table
Price DV01
______ ________
fixed_bond1 114.01 0.04251
fixed_bond2 110.07 0.041629
Add Multiple Instruments to Portfolio
Use finportfolio
to create an empty portfolio and then use addInstrument
to add multiple instruments to the portfolio.
Create FixedBond
Instrument Objects
Use fininstrument
to create two FixedBond
instrument objects each with two instruments.
FixB1 = fininstrument("FixedBond", 'Maturity',datetime([2022,9,15 ; 2022,10,15]),'CouponRate',0.045,'Name',"fixed_bond1")
FixB1=2×1 FixedBond array with properties:
CouponRate
Period
Basis
EndMonthRule
Principal
DaycountAdjustedCashFlow
BusinessDayConvention
Holidays
IssueDate
FirstCouponDate
LastCouponDate
StartDate
Maturity
Name
FixB2 = fininstrument("FixedBond", 'Maturity',datetime([2022,11,15 ; 2022,12,15]),'CouponRate',0.035,'Name',"fixed_bond2")
FixB2=2×1 FixedBond array with properties:
CouponRate
Period
Basis
EndMonthRule
Principal
DaycountAdjustedCashFlow
BusinessDayConvention
Holidays
IssueDate
FirstCouponDate
LastCouponDate
StartDate
Maturity
Name
Create ratecurve
Object
Create a ratecurve
object using ratecurve
.
Settle = datetime(2020,9,15); 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-2020 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create Discount
Pricer Object for FixedBond
Instruments
Use finpricer
to create a Discount
pricer object and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
DiscountPricer = finpricer("Discount", 'DiscountCurve',myRC)
DiscountPricer = Discount with properties: DiscountCurve: [1x1 ratecurve]
Add Instruments to finportfolio
Object
Create an empty finportfolio
object using finportfolio
and then use addInstrument
to put the FixedBond
instruments into the portfolio.
f1 = finportfolio; f1 = addInstrument(f1,FixB1(1))
f1 = finportfolio with properties: Instruments: [1x1 fininstrument.FixedBond] Pricers: [0x1 finpricer.FinPricer] PricerIndex: NaN Quantity: 1
f1 = addInstrument(f1,FixB1(2))
f1 = finportfolio with properties: Instruments: [2x1 fininstrument.FixedBond] Pricers: [0x1 finpricer.FinPricer] PricerIndex: [2x1 double] Quantity: [2x1 double]
f1 = addInstrument(f1,FixB2(1))
f1 = finportfolio with properties: Instruments: [3x1 fininstrument.FixedBond] Pricers: [0x1 finpricer.FinPricer] PricerIndex: [3x1 double] Quantity: [3x1 double]
f1 = addInstrument(f1,FixB2(2))
f1 = finportfolio with properties: Instruments: [4x1 fininstrument.FixedBond] Pricers: [0x1 finpricer.FinPricer] PricerIndex: [4x1 double] Quantity: [4x1 double]
Set Pricer for Portfolio
Use setPricer
to set the pricer for the portfolio and then use pricePortfolio
to calculate the prices and sensitivities for the instruments in the portfolio.
f1 = setPricer(f1,DiscountPricer,[1,2,3,4])
f1 = finportfolio with properties: Instruments: [4x1 fininstrument.FixedBond] Pricers: [1x1 finpricer.Discount] PricerIndex: [4x1 double] Quantity: [4x1 double]
[PortPrice,InstPrice,PortSens,InstSens] = pricePortfolio(f1)
PortPrice = 428.2788
InstPrice = 4×1
107.7226
108.0156
106.1642
106.3765
PortSens=1×2 table
Price DV01
______ ________
428.28 0.088272
InstSens=4×2 table
Price DV01
______ ________
fixed_bond1 107.72 0.020871
fixed_bond1_1 108.02 0.021761
fixed_bond2 106.16 0.022387
fixed_bond2_1 106.38 0.023253
Input Arguments
inPort
— finportfolio
object
finportfolio
object
finportfolio
object, specified as a scalar finportfolio
object.
Data Types: object
inInst
— Instrument object to add to portfolio
scalar instrument object
Instrument object to add to portfolio, specified as a scalar instrument object that
is previously created using fininstrument
.
Note
If the instrument object for inInst
is a vector of
instruments, you must use addInstrument
to add each instrument
separately.
Data Types: object
inPricer
— Pricer object associated with an added instrument object
scalar pricer object | array of pricer objects
Pricer object associated with an added instrument object, specified as a scalar
pricer object or an array of pricer objects that are previously created using finpricer
.
Data Types: object
inQuant
— Number of added instruments
1
(default) | positive or negative numeric
Number of instruments, specified as a scalar numeric. Use a positive value for a long position and a negative value for a short position.
Data Types: double
Output Arguments
outPort
— Updated finportfolio
object
finportfolio
object
Updated finportfolio
, returned as a finportfolio
object.
Version History
Introduced in R2020a
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