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Portfolio Valuation

Manage portfolios of instruments, perform portfolio hedging and rebalancing

Functions

instadd Add types to instrument collection
instaddfield Add new instruments to instrument collection
instdelete Complement of instrument set by matching conditions
instdisp Display instruments
instfields List field names
instfind Search instruments for matching conditions
instget Data from instrument variable
instgetcell Data and context from instrument variable
instlength Count instruments
instselect Create instrument subset by matching conditions
instsetfield Add or reset data for existing instruments
insttypes List types
intenvset Set properties of interest-rate structure
hedgeopt Allocate optimal hedge for target costs or sensitivities
hedgeslf Self-financing hedge

Examples and How To

Creating a Portfolio

Portfolio Creation

Use the instadd function to create an instrument portfolio or to add new instruments to an existing portfolio.

Adding Instruments to an Existing Portfolio

Use the instadd function to add additional instruments to an existing instrument portfolio.

Instrument Constructors

The toolbox provides constructors for the most common financial instruments.

Creating Instruments or Properties

Use the instaddfield function to add new properties to the instruments in an existing instrument collection.

Searching or Subsetting a Portfolio

Financial Instruments Toolbox™ provides function to find specific instruments within a portfolio or create a subset portfolio.

Working With a Portfolio

Hedging Functions

Financial Instruments Toolbox offers two functions for assessing the fundamental hedging tradeoff, hedgeopt and hedgeslf.

Pricing a Portfolio Using the Black-Derman-Toy Model

This example illustrates how the Financial Instruments Toolbox™ is used to create a Black-Derman-Toy (BDT) tree and price a portfolio of instruments using the BDT model.

Pricing and Hedging a Portfolio Using the Black-Karasinski Model

This example illustrates how MATLAB® can be used to create a portfolio of interest rate derivatives securities, and price it using the Black-Karasinski interest rate model.

Specifying Constraints with ConSet

Specify a set of linear inequality constraints for instruments in your portfolio using ConSet.

Portfolio Rebalancing

This example demonstrates user-specified constraints to rebalance a portfolio using the hedgeopt function.

Hedging with Constrained Portfolios

Examples to demonstrate hedging with constrained portfolios.

Concepts

Instrument Constructors

The toolbox provides constructors for the most common financial instruments.

Hedging

Hedging is an important consideration in modern finance.

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