removeInstrument
Remove instrument from portfolio of instruments
Description
removes an instrument object (outPort
= removeInstrument(inPort
,inInst
)inInst
) from a portfolio of instruments
(inPort
) previously created using finportfolio
.
Examples
Use addInstrument
to add instruments to an empty portfolio and then remove an instrument from the portfolio using removeInstrument
.
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: [10×1 datetime] Rates: [10×1 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: [1×1 ratecurve]
Add Instruments to finportfolio
Object
Create an empty finportflio
object using finportfolio
and then use addInstrument
to add the two FixedBond
instruments to the portfolio.
f1 = finportfolio; f1 = addInstrument(f1,FixB1)
f1 = finportfolio with properties: Instruments: [1×1 fininstrument.FixedBond] Pricers: [0×1 finpricer.FinPricer] PricerIndex: NaN Quantity: 1
f1 = addInstrument(f1,FixB2)
f1 = finportfolio with properties: Instruments: [2×1 fininstrument.FixedBond] Pricers: [0×1 finpricer.FinPricer] PricerIndex: [2×1 double] Quantity: [2×1 double]
Remove Instrument from finportfolio
Object
Use removeInstrument
to remove the first FixedBond
instrument from the portfolio.
f1 = removeInstrument(f1,1)
f1 = finportfolio with properties: Instruments: [1×1 fininstrument.FixedBond] Pricers: [0×1 finpricer.FinPricer] PricerIndex: NaN Quantity: 1
Set Pricer for Portfolio
Use setPricer
to set the Discount
pricer for the portfolio and then use pricePortfolio
to calculate the price and sensitivities for the single instrument in the portfolio.
f1 = setPricer(f1,DiscountPricer)
f1 = finportfolio with properties: Instruments: [1×1 fininstrument.FixedBond] Pricers: [1×1 finpricer.Discount] PricerIndex: 1 Quantity: 1
[PortPrice,InstPrice,PortSens,InstSens] = pricePortfolio(f1)
PortPrice = 110.0749
InstPrice = 110.0749
PortSens=1×2 table
Price DV01
______ ________
110.07 0.041629
InstSens=1×2 table
Price DV01
______ ________
fixed_bond2 110.07 0.041629
Input Arguments
finportfolio
object, specified as a scalar finportfolio
object.
Data Types: object
Instrument to remove from finportfolio
object, specified as a
scalar instrument object, string for the instrument object 'Name'
property, or index value for the position of instrument in the
finportfolio
object.
Data Types: object
| double
| string
Output Arguments
Updated finportfolio
, returned as a finportfolio
object.
Version History
Introduced in R2020a
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