addInstrument

Add instrument to portfolio of instruments

Description

example

outPort = addInstrument(inPort,inInst) adds the instrument inInst to a portfolio inPort of instruments previously created using finportfolio.

example

outPort = addInstrument(inPort,inInst,inPricer) adds the instrument inInst and the associated pricer inPricer to a portfolio inPort of instruments previously created using finportfolio.

example

outPort = addInstrument(___,inQuant) optionally specifies the number (inQuant) of added instruments. Use this syntax with any of the input argument combinations in previous syntaxes.

Examples

collapse all

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

Input Arguments

collapse all

finportfolio object, specified as a scalar finportfolio object.

Data Types: object

Instrument object to add to portfolio, specified as a scalar instrument object or an array of instrument objects that are previously created using fininstrument.

Data Types: object

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

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

collapse all

Updated finportfolio, returned as a finportfolio object.

Introduced in R2020a