The instadd
function creates a set of instruments (portfolio) or adds instruments to an existing instrument collection.
The TypeString
argument specifies the type of the
investment instrument. For interest-rate-based derivatives, the types are:
Bond
, OptBond
,
CashFlow
, Fixed
,
Float
, Cap
, Floor
,
and Swap
. For equity derivatives, the types are
Asian
, Barrier
,
Compound
, Lookback
, and
OptStock
.
The input arguments following TypeString
are specific to the
type of investment instrument. Thus, the TypeString
argument determines how the remainder of
the input arguments is interpreted. For example, instadd
with
the type character vector for Bond
creates a portfolio of
bond instruments.
InstSet = instadd('Bond', CouponRate, Settle, Maturity, Period, Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate, StartDate, Face)
In addition to the bond instrument already described, the toolbox can create portfolios containing the following set of functions for interest-rate-based derivatives:
Bond option
InstSet = instadd('OptBond', BondIndex, OptSpec, Strike, ExerciseDates, AmericanOpt)
Arbitrary cash flow instrument
InstSet = instadd('CashFlow', CFlowAmounts, CFlowDates, Settle, Basis)
Fixed-rate note instrument
InstSet = instadd('Fixed', CouponRate, Settle, Maturity, FixedReset, Basis, Principal)
Floating-rate note instrument
InstSet = instadd('Float', Spread, Settle, Maturity, FloatReset, Basis, Principal)
Cap instrument
InstSet = instadd('Cap', Strike, Settle, Maturity, CapReset, Basis, Principal)
Convertible bond instrument
InstSet = instcbond(CouponRate,Settle,Maturity,ConvRatio)
Floor instrument
InstSet = instadd('Floor', Strike, Settle, Maturity, FloorReset, Basis, Principal)
Swap instrument
InstSet = instadd('Swap', LegRate, Settle, Maturity, LegReset, Basis, Principal, LegType)
Swaption instrument
InstSet = instadd('Swaption', OptSpec, Strike, ExerciseDates, Spread, ... Settle, Maturity, AmericanOpt, SwapReset, Basis, Principal)
Bond with embedded option instrument
InstSet = instadd('OptEmBond', CouponRate, Settle, Maturity, OptSpec, Strike, ... ExerciseDates, 'AmericanOpt', AmericanOpt, 'Period', Period,'Basis', Basis, ... 'EndMonthRule', EndMonthRule,'Face',Face,'IssueDate', IssueDate, 'FirstCouponDate', ... FirstCouponDate, 'LastCouponDate', LastCouponDate,'StartDate', StartDate)
The toolbox can create portfolios containing the following set of functions for equity derivatives:
Asian instrument
InstSet = instadd('Asian', OptSpec, Strike, Settle, ExerciseDates, AmericanOpt, ... AvgType, AvgPrice, AvgDate)
Barrier instrument
InstSet = instadd('Barrier', OptSpec, Strike, Settle, ExerciseDates, AmericanOpt, ... BarrierType, Barrier, Rebate)
Compound instrument
InstSet = instadd('Compound', UOptSpec, UStrike, USettle, UExerciseDates, UAmericanOpt, ... COptSpec, CStrike, CSettle, CExerciseDates, CAmericanOpt)
Convertible bond instrument
InstSet = instcbond(CouponRate,Settle,Maturity,ConvRatio)
Lookback instrument
InstSet = instadd('Lookback', OptSpec, Strike, Settle, ExerciseDates, AmericanOpt)
Stock option instrument
InstSet = instadd('OptStock', OptSpec, Strike, Settle, Maturity, AmericanOpt)
hedgeopt
| hedgeslf
| instadd
| instaddfield
| instdelete
| instdisp
| instfields
| instfind
| instget
| instgetcell
| instlength
| instselect
| instsetfield
| insttypes
| intenvset