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removeInstrument

Remove instrument from portfolio of instruments

Description

example

outPort = removeInstrument(inPort,inInst) removes an instrument object (inInst) from a portfolio of instruments (inPort) previously created using finportfolio.

Examples

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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: [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 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: [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]

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: [1x1 fininstrument.FixedBond]
        Pricers: [0x1 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: [1x1 fininstrument.FixedBond]
        Pricers: [1x1 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

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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

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Updated finportfolio, returned as a finportfolio object.

Introduced in R2020a