Financial Derivatives Toolbox™

instget - Data from instrument variable

Syntax

[Data_1, Data_2,...,Data_n] = instget(InstSet, 'FieldName', FieldList, 'Index', IndexSet, 'Type', TypeList)

Arguments

`InstSet`	Variable containing a collection of instruments. Instruments are classified by type; each type can have different data fields. The stored data field is a row vector or string for each instrument.
`FieldList`	(Optional) String or number of fields (`NFIELDS`)-by-`1` cell array of strings listing the name of each data field to match with data values. `FieldList` entries can also be either `'Type'` or `'Index'`; these return type strings and index numbers respectively. The default is all fields available for the returned set of instruments.
`IndexSet`	(Optional) Number of instruments (`NINST`)-by-`1` vector of positions of instruments to work on. If `TypeList` is also entered, instruments referenced must be one of `TypeList` types and contained in `IndexSet`. The default is all indices available in the instrument variable.
`TypeList`	(Optional) String or number of types (`NTYPES`)-by-`1` cell array of strings restricting instruments to match one of `TypeList` types. The default is all types in the instrument variable.

Argument value pairs can be entered in any order. The InstSet variable must be the first argument.

Description

[Data_1, Data_2,...,Data_n] = instget(InstSet, 'FieldName',FieldList, 'Index', IndexSet, 'Type', TypeList) retrieves data arrays from an instrument variable.

Data_1 is an NINST-by-M array of data contents for the first field in FieldList. Each row corresponds to a separate instrument in IndexSet. Unavailable data is returned as NaN or as spaces.

Data_n is an NINST-by-M array of data contents for the last field in FieldList.

Examples

Retrieve the instrument set ExampleInst from the data file. InstSetExamples.mat. ExampleInst contains three types of instruments: Option, Futures, and TBill.

load InstSetExamples; 
instdisp(ExampleInst)

Index Type   Strike Price Opt  Contracts
1     Option  95    12.2  Call     0     
2     Option 100     9.2  Call     0     
3     Option 105     6.8  Call  1000     

Index Type    Delivery       F     Contracts
4     Futures 01-Jul-1999    104.4 -1000   
  
Index Type   Strike Price Opt  Contracts
5     Option 105      7.4 Put  -1000     
6     Option  95      2.9 Put      0     

Index Type Price Maturity       Contracts
7     TBill 99    01-Jul-1999   6

Extract the price from all instruments.

P = instget(ExampleInst,'FieldName','Price')

P =

   12.2000
    9.2000
    6.8000
       NaN
    7.4000
    2.9000
   99.0000

Get all the prices and the number of contracts held.

[P,C] = instget(ExampleInst, 'FieldName', {'Price', 'Contracts'}) 

P =

   12.2000
    9.2000
    6.8000
       Nan
    7.4000
    2.9000
   99.0000

C =

      0
      0
   1000
  -1000
  -1000
      0
      6

Compute a value V. Create a new variable ISet that appends V to ExampleInst.

V = P.*C 
ISet = instsetfield(ExampleInst, 'FieldName', 'Value', 'Data',... 
V); 
instdisp(ISet) 

Index Type   Strike Price Opt  Contracts Value
1     Option  95     12.2 Call    0           0 
2     Option 100      9.2 Call    0           0 
3     Option 105      6.8 Call  1000       6800 

Index Type    Delivery       F     Contracts Value 
4     Futures 01-Jul-1999    104.4 -1000     NaN

Index Type   Strike Price Opt  Contracts Value
5     Option 105     7.4 Put  -1000      -7400 
6     Option  95     2.9 Put     0           0 

Index Type Price Maturity       Contracts Value
7     TBill 99    01-Jul-1999   6         594

Look at only the instruments that have nonzero Contracts.

Ind = find(C ~= 0) 

Ind =

     3
     4
     5
     7

Get the Type and Opt parameters from those instruments. (Only options have a stored 'Opt' field.)

[T,O] = instget(ExampleInst, 'Index', Ind, 'FieldName',... 
{'Type', 'Opt'}) 

T =

Option 
Futures
Option 
TBill   

O =

Call
    
Put

Create a string report of holdings Type, Opt, and Value.

rstring = [T, O, num2str(V(Ind))] 

rstring =

Option Call   6800
Futures        NaN
Option Put   -7400
TBill          594

instget - Data from instrument variable

Syntax

Arguments

Description

Examples

See Also