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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

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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

Use finportfolio to create an empty portfolio and then use addInstrument to add multiple instruments to the portfolio.

Create FixedBond Instrument Objects

Use fininstrument to create two FixedBond instrument objects each with two instruments.

FixB1 = fininstrument("FixedBond", 'Maturity',datetime([2022,9,15 ; 2022,10,15]),'CouponRate',0.045,'Name',"fixed_bond1")
FixB1=2×1 object
  2x1 FixedBond array with properties:

    CouponRate
    Period
    Basis
    EndMonthRule
    Principal
    DaycountAdjustedCashFlow
    BusinessDayConvention
    Holidays
    IssueDate
    FirstCouponDate
    LastCouponDate
    StartDate
    Maturity
    Name

FixB2 = fininstrument("FixedBond", 'Maturity',datetime([2022,11,15 ; 2022,12,15]),'CouponRate',0.035,'Name',"fixed_bond2")
FixB2=2×1 object
  2x1 FixedBond array with properties:

    CouponRate
    Period
    Basis
    EndMonthRule
    Principal
    DaycountAdjustedCashFlow
    BusinessDayConvention
    Holidays
    IssueDate
    FirstCouponDate
    LastCouponDate
    StartDate
    Maturity
    Name

Create ratecurve Object

Create a ratecurve object using ratecurve.

Settle = datetime(2020,9,15);
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-2020
         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(1))
f1 = 
  finportfolio with properties:

    Instruments: [1x1 fininstrument.FixedBond]
        Pricers: [0x1 finpricer.FinPricer]
    PricerIndex: NaN
       Quantity: 1

f1 = addInstrument(f1,FixB1(2))
f1 = 
  finportfolio with properties:

    Instruments: [2x1 fininstrument.FixedBond]
        Pricers: [0x1 finpricer.FinPricer]
    PricerIndex: [2x1 double]
       Quantity: [2x1 double]

f1 = addInstrument(f1,FixB2(1))
f1 = 
  finportfolio with properties:

    Instruments: [3x1 fininstrument.FixedBond]
        Pricers: [0x1 finpricer.FinPricer]
    PricerIndex: [3x1 double]
       Quantity: [3x1 double]

f1 = addInstrument(f1,FixB2(2))
f1 = 
  finportfolio with properties:

    Instruments: [4x1 fininstrument.FixedBond]
        Pricers: [0x1 finpricer.FinPricer]
    PricerIndex: [4x1 double]
       Quantity: [4x1 double]

Set Pricer for Portfolio

Use setPricer to set the pricer for the portfolio and then use pricePortfolio to calculate the prices and sensitivities for the instruments in the portfolio.

f1 = setPricer(f1,DiscountPricer,[1,2,3,4])
f1 = 
  finportfolio with properties:

    Instruments: [4x1 fininstrument.FixedBond]
        Pricers: [1x1 finpricer.Discount]
    PricerIndex: [4x1 double]
       Quantity: [4x1 double]

[PortPrice,InstPrice,PortSens,InstSens] = pricePortfolio(f1)
PortPrice = 428.2788
InstPrice = 4×1

  107.7226
  108.0156
  106.1642
  106.3765

PortSens=1×2 table
    Price       DV01  
    ______    ________

    428.28    0.088272

InstSens=4×2 table
                     Price       DV01  
                     ______    ________

    fixed_bond1      107.72    0.020871
    fixed_bond1_1    108.02    0.021761
    fixed_bond2      106.16    0.022387
    fixed_bond2_1    106.38    0.023253

Input Arguments

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finportfolio object, specified as a scalar finportfolio object.

Data Types: object

Instrument object to add to portfolio, specified as a scalar instrument object that is previously created using fininstrument.

Note

If the instrument object for inInst is a vector of instruments, you must use addInstrument to add each instrument separately.

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

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Updated finportfolio, returned as a finportfolio object.

Introduced in R2020a