Price an Instrument Portfolio
The object-based framework supports a workflow for creating instruments, models, and pricer objects to price financial instruments. Using these objects, you can price interest-rate, inflation, equity, commodity, FX, or credit derivative instruments. The object-based workflow is an alternative to pricing financial instruments using functions. Working with modular objects for instruments, models, and pricers, you can easily reuse these objects to compare instrument prices for different models and pricing engines. You can use the object-based workflow to price a single instrument or to price a collection of instruments in a portfolio. For more information on the workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
create a portfolio object and then use
pricePortfolio to calculate the price and sensitivities of
all instruments in the portfolio.
Create Portfolio of Instruments
|Compute price and sensitivities for portfolio of instruments|
|Set pricer for |
Add or Remove Instrument from Portfolio
|Add instrument to portfolio of instruments|
|Remove instrument from portfolio of instruments|
- Create and Price Portfolio of Instruments
pricePortfolioto create and price a portfolio of interest-rate and equity instruments.
- Price Portfolio of Bond and Bond Option Instruments
This example shows the workflow to create and price a portfolio of bond and bond option instruments.
- Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments
Use objects to model and price financial instruments.
- Choose Instruments, Models, and Pricers
Select instruments, associated models, and associated pricers.
- Mapping Financial Instruments Toolbox Functions to Object-Based Framework for Instruments, Models, and Pricers
Mapping functions to a workflow using objects for instruments, models, and pricers.
- Supported Exercise Styles
The following table lists the interest-rate instrument objects with their associated models and pricers and supported