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setPricer

Set pricer for finportfolio object

Description

example

outPort = setPricer(inPort,inPricer,Index) sets a specified pricer for the previously created finportfolio object.

Examples

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Use finportfolio to create a portfolio of instruments and then use setPricer to set the pricer for 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 a finportflio object using finportfolio and use addInstrument to put the FixedBond instruments in 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

Input Arguments

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Portfolio, specified using a previously created finportfolio object.

Data Types: object

Pricer object to set for an instrument in a finportfolio object, specified using a previously created pricer object with finpricer.

Data Types: object

Index to instruments in the finportfolio object, specified as a numeric value.

Data Types: double

Output Arguments

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Updated portfolio, returned as an finportfolio object.

Introduced in R2020a