Create and Price Portfolio of Instruments

Use finportfolio and pricePortfolio to create and price a portfolio of interest-rate and equity instruments. The portfolio contains a vanilla FixedBond, an OptionEmbeddedFixedBond, a Vanilla European call option, a Vanilla American call option, and an Asian call option.

Create ratecurve Object

Create a ratecurve object using ratecurve.

Settle = datetime(2018,9,15);
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;
ZeroCurve = ratecurve("zero",Settle,ZeroDates,ZeroRates);

Create the Instrument Objects

Use fininstrument to create the instrument objects.

% Vanilla FixedBond
CouponRate = 0.0325;
Maturity = datetime(2038,3,15);
Period = 1;
VanillaBond = fininstrument("FixedBond",'Maturity',Maturity,'CouponRate',CouponRate,...
    'Period',Period,'Name',"VanillaBond")
VanillaBond = 
  FixedBond with properties:

                  CouponRate: 0.0325
                      Period: 1
                       Basis: 0
                EndMonthRule: 1
                   Principal: 100
    DaycountAdjustedCashFlow: 0
       BusinessDayConvention: "actual"
                    Holidays: NaT
                   IssueDate: NaT
             FirstCouponDate: NaT
              LastCouponDate: NaT
                   StartDate: NaT
                    Maturity: 15-Mar-2038
                        Name: "VanillaBond"

% OptionEmbeddedBond
Maturity = datetime(2024,9,15);
CouponRate = 0.035;
Strike = 100;
ExerciseDates = datetime(2023,9,15);
CallSchedule =  timetable(ExerciseDates,Strike,'VariableNames',{'Strike Schedule'});
Period = 1;
CallableBond = fininstrument("OptionEmbeddedFixedBond", "Maturity",Maturity,...
    'CouponRate',CouponRate,'Period',Period, ...
    'CallSchedule',CallSchedule,...
    'Name',"CallableBond");

% Vanilla European call option
ExerciseDate = datetime(2022,1,1);
Strike = 96;
OptionType = 'call';
CallOpt = fininstrument("Vanilla",'ExerciseDate',ExerciseDate,'Strike',Strike,...
    'OptionType',OptionType, 'Name',"EuropeanCallOption")
CallOpt = 
  Vanilla with properties:

       OptionType: "call"
    ExerciseStyle: "european"
     ExerciseDate: 01-Jan-2022
           Strike: 96
             Name: "EuropeanCallOption"

% Vanilla American call option
ExerciseDate = datetime(2023,1,1);
Strike = 97;
OptionType = 'call';
CallOpt_American = fininstrument("Vanilla",'ExerciseDate',ExerciseDate,'Strike',Strike,...
    'OptionType',OptionType, 'ExerciseStyle', "american", ...
    'Name',"AmericanCallOption")
CallOpt_American = 
  Vanilla with properties:

       OptionType: "call"
    ExerciseStyle: "american"
     ExerciseDate: 01-Jan-2023
           Strike: 97
             Name: "AmericanCallOption"

% Asian call option
ExerciseDate = datetime(2023,1,1);
Strike = 102;
OptionType = 'call';
CallOpt_Asian = fininstrument("Asian",'ExerciseDate',ExerciseDate,'Strike',Strike,...
    'OptionType',OptionType,'Name',"AsianCall")
CallOpt_Asian = 
  Asian with properties:

          OptionType: "call"
              Strike: 102
         AverageType: "arithmetic"
        AveragePrice: 0
    AverageStartDate: NaT
       ExerciseStyle: "european"
        ExerciseDate: 01-Jan-2023
                Name: "AsianCall"

Create Model Objects

Use finmodel to create HullWhite and BlackScholes model objects.

% Create Hull-White model
Vol = 0.01;
Alpha = 0.1;
HWModel = finmodel("hullwhite",'alpha',Alpha,'sigma',Vol);

% Create Black-Scholes model
Vol = .1;
SpotPrice = 95;
BlackScholesModel = finmodel("BlackScholes",'Volatility',Vol);

Create Pricer Objects

Use finpricer to create Discount, IRTree, BlackScholes, Levy, and BjerksundStensland pricer objects and use the ratecurve object for the 'DiscountCurve' name-value pair argument.

% Create Discount pricer
DiscPricer = finpricer("Discount","DiscountCurve",ZeroCurve);

% Create Hull-White tree pricer
TreeDates = Settle + calyears(1:30);
HWTreePricer = finpricer("IRTree",'Model',HWModel,'DiscountCurve',ZeroCurve,...
    'TreeDates',TreeDates');

% Create BlackScholes, Levy, and BjerksundStensland pricers
BLSPricer = finpricer("analytic",'DiscountCurve',ZeroCurve,'Model',BlackScholesModel,'SpotPrice',SpotPrice);
LevyPricer = finpricer("analytic",'DiscountCurve',ZeroCurve,'Model',BlackScholesModel,...
                        'SpotPrice',SpotPrice,'PricingMethod',"Levy");
BJSpricer = finpricer("analytic",'DiscountCurve',ZeroCurve,'Model',BlackScholesModel,...
                        'SpotPrice',SpotPrice,'PricingMethod',"BjerksundStensland");

Create finportfolio Object

Create a finportfolio object that contains all of the instrument and pricer objects using finportfolio.

myPort = finportfolio([VanillaBond CallableBond CallOpt CallOpt_American CallOpt_Asian]',...
                            [DiscPricer HWTreePricer BLSPricer BJSpricer LevyPricer]')
myPort = 
  finportfolio with properties:

    Instruments: [5x1 fininstrument.FinInstrument]
        Pricers: [5x1 finpricer.FinPricer]
    PricerIndex: [5x1 double]
       Quantity: [5x1 double]

Price Portfolio

Use pricePortfolio to compute the price and sensitivities for the portfolio and the instruments in the portfolio.

[PortPrice,InstPrice,PortSens,InstSens] = pricePortfolio(myPort)
PortPrice = 237.3275
InstPrice = 5×1

  107.4220
  110.8389
    7.5838
    8.8705
    2.6123

PortSens=1×8 table
    Price      Delta     Gamma    Lambda     Vega      Theta      Rho       DV01 
    ______    _______    _____    ______    ______    _______    ______    ______

    237.33    -546.39    2840     26.354    124.28    -4.0673    418.68    0.1579

InstSens=5×8 table
                          Price      Delta      Gamma      Lambda     Vega       Theta       Rho       DV01 
                          ______    _______    ________    ______    _______    ________    ______    ______

    VanillaBond           107.42        NaN         NaN       NaN        NaN         NaN       NaN    0.1579
    CallableBond          110.84     -547.9      2839.9       NaN    -62.532         NaN       NaN       NaN
    EuropeanCallOption    7.5838    0.57026    0.022762    7.1435     67.763     -1.3962    153.68       NaN
    AmericanCallOption    8.8705     0.5845    0.019797    6.2597     76.808     -1.8677    200.68       NaN
    AsianCall             2.6123    0.35611    0.032053     12.95     42.238    -0.80342     64.31       NaN