instadd
Add types to instrument collection
Description
adds instruments to an existing instrument set InstSetNew
= instadd(InstSetOld
,TypeString
,Data
)InstSet
. The
output InstSetNew
is a new instrument set containing the input
data.
InstSetNew
and InstSetOld
store
instruments of types 'Asian'
, 'Barrier'
,
'Bond'
, 'CBond'
, 'Cap'
,
'CashFlow'
, 'Compound'
,
'Fixed'
, 'Float'
,
'Floor'
, 'Lookback'
,
'OptBond'
, 'OptEmBond'
,
'OptEmFloat'
,
'RangeFloat'
,'OptStock'
,
'Swap'
, or 'Swaption'
. Financial Instruments Toolbox™ provides pricing and sensitivity routines for these
instruments.
Examples
Create a Portfolio with Two Cap Instruments and a 4% Bond
Define the bond:
Strike = [0.06; 0.07]; CouponRate = 0.04; Settle = '06-Feb-2000'; Maturity = '15-Jan-2003';
Create a portfolio with two cap instruments and a 4% bond and then display the portfolio:
InstSet = instadd('Cap', Strike, Settle, Maturity); InstSet = instadd(InstSet, 'Bond', CouponRate, Settle, Maturity); instdisp(InstSet)
Index Type Strike Settle Maturity CapReset Basis Principal 1 Cap 0.06 06-Feb-2000 15-Jan-2003 1 0 100 2 Cap 0.07 06-Feb-2000 15-Jan-2003 1 0 100 Index Type CouponRate Settle Maturity Period Basis EndMonthRule IssueDate FirstCouponDate LastCouponDate StartDate Face 3 Bond 0.04 06-Feb-2000 15-Jan-2003 2 0 1 NaN NaN NaN NaN 100
Input Arguments
InstSetOld
— Existing instrument variable
structure
Existing instrument variable, specified as an InstSet
structure.
InstSetOld
can contain instruments of types
'Asian'
, 'Barrier'
,
'Bond'
, 'CBond'
,
'Cap'
, 'CashFlow'
,
'Compound'
, 'Fixed'
,
'Float'
, 'Floor'
,
'Lookback'
, 'OptBond'
,
'OptEmBond'
, 'OptEmFloat'
,
'RangeFloat'
, 'OptStock'
,
'Swap'
, or 'Swaption'
.
Data Types: struct
TypeString
— Instrument type
character vector
Instrument type, specified as a character vector. The supported instrument types are:
'Asian'
'Barrier'
'Bond'
'CBond'
'Cap'
'CashFlow'
'Compound'
'Fixed'
'Float'
'Floor'
'Lookback'
'OptBond'
'OptEmBond'
'OptEmFloat'
'RangeFloat'
'OptStock'
'Swap'
'Swaption'
Note
Each instrument type can have different Data
fields.
Data Types: char
Data
— Instrument data fields
vector
Instrument data fields, specified as a row vector or character vector for each instrument.
'Asian'
— For example:InstSet = instadd('Asian',OptSpec,Strike,Settle,ExerciseDates)
For more information on Asian instrument arguments, see
instasian
.'Barrier'
— For example:InstSet = instadd('Barrier',OptSpec,Strike,Settle,ExerciseDates,AmericanOpt,BarrierType,Barrier,Rebate)
For more information on the Barrier instrument arguments, see
instbarrier
.'Bond'
— For example:InstSet = instadd('Bond',CouponRate,Settle,Maturity,Period,Basis,EndMonthRule,IssueDate,FirstCouponDate,LastCouponDate,StartDate,Face)
For more information on the Bond instrument arguments , see
instbond
.'CBond'
— For example:InstSet = instadd('CBond',CouponRate,Settle,Maturity,ConvRatio'CallStrike',CallStrike,'CallExDates',CallExDates,'AmericanCall',AmericanCall,'PutStrike',PutStrike, ... 'PutExDates',PutExDates,'AmericanPut',AmericanPut,'Period',Period,'Face',Face,'Spread',Spread,'IssueDate',IssueDate,'FirstCouponDate',FirstCouponDate,'LastCouponDate', ... LastCouponDate,'StartDate',StartDate)
For more information on the CBond instrument arguments , see
instcbond
.'Cap'
— For example:InstSet = instadd('Cap',Strike,Settle,Maturity,Reset,Basis,Principal)
For more information on the Cap instrument arguments , see
instcap
.'CashFlow'
— For example:InstSet = instadd('CashFlow',CFlowAmounts,CFlowDates,Settle,Basis)
For more information on the Cash Flow instrument arguments , see
instcf
.'Compound'
— For example:InstSet = instadd('Compound',UOptSpec,UStrike,USettle,UExerciseDates,UAmericanOpt,COptSpec,CStrike,CSettle,CExerciseDates,CAmericanOpt)
For more information on the Compound instrument arguments , see
instcompound
.'Fixed'
— For example:InstSet = instadd('Fixed',CouponRate,Settle,Maturity,Reset,Basis,Principal,EndMonthRule)
For more information on the Fixed instrument arguments , see
instfixed
.'Float'
— For example:InstSet = instadd('Float',Spread,Settle,Maturity,Reset,Basis,Principal,EndMonthRule,CapRate,FloorRate)
For more information on the Fixed instrument arguments , see
instfloat
.'Floor'
— For example:InstSet = instadd('Floor',Strike,Settle,Maturity,Reset,Basis,Principal)
For more information on the Floor instrument arguments , see
instfloor
.'Lookback'
— For example:InstSet = instadd('Lookback',OptSpec,Strike,Settle,ExerciseDates,AmericanOpt)
For more information on the Lookback instrument arguments , see
instlookback
.'OptBond'
— For example:InstSet = instadd('OptBond',BondIndex,OptSpec,Strike,ExerciseDates,AmericanOpt)
For more information on the Bond Option instrument arguments , see
instoptbnd
.'OptStock'
— For example:InstSet = instadd('OptStock',OptSpec,Strike,Settle,Maturity,AmericanOpt)
For more information on the Stock Option instrument arguments , see
instoptstock
.'OptEmBond'
— For example:InstSet = instoptembnd(CouponRate, Settle, Maturity, OptSpec, Strike, ... ExerciseDates,'AmericanOpt', AmericanOpt, 'Period', Period)
For more information on the Bond with embedded option instrument arguments , see
instoptembnd
.'OptemFloat'
— For example:InstSet = instoptemfloat(Spread, Settle, Maturity, OptSpec, Strike, ... ExerciseDates,'FloatReset', Reset)
For more information on the Floating Rate Note with an embedded option instrument arguments , see
instoptemfloat
.'RangeFloat'
— For example:InstSet = instrangefloat(Spread, Settle, Maturity, RateSched)
For more information on the Range Note instrument arguments , see
instrangefloat
.'Swap'
— For example:InstSet = instadd('Swap',LegRate,Settle,Maturity,LegReset,Basis,Principal,LegType,EndMonthRule,StartDate)
For more information on the Swap instrument arguments , see
instswap
.'Swaption'
— For example:InstSet = instadd('Swap',LegRate,Settle,Maturity,LegReset,Basis,Principal,LegType,EndMonthRule,StartDate)
For more information on the Swaption instrument arguments , see
instswaption
.
Data Types: char
Output Arguments
InstSetNew
— Instrument set containing the new input data
structure
InstSetNew
is an instrument set containing the new
input data, returned as a structure.
Version History
Introduced before R2006a
See Also
instasian
| instbarrier
| instbond
| instcap
| instcf
| instcompound
| instfixed
| instfloat
| instfloor
| instlookback
| instoptbnd
| instoptembnd
| instoptstock
| instswap
| instswaption
| instaddfield
| instdisp
| instcbond
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