Financial Instruments Toolbox™ supports an object framework for pricing financial instruments. There
are three types of object constructors in the framework:
fininstrument to create an instrument object,
finmodel to create a model object, and
finpricer to create a pricer object. The canonical workflow
to price an instrument is:
Create an instrument object using fininstrument.
myInst = fininstrument(InstType,…)
Create a model object using finmodel.
myModel = finmodel(ModelType,…)
Create a ratecurve object using ratecurve.
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)Create a pricer object using finpricer.
myPricer = finpricer(PricerType,myModel,myRC,...)
Price the instrument using an associated price
function.
[Price, PriceResult] = price(myPricer, myInst,…)
For examples showing how to use this workflow to create an instrument and a ratecurve object, see:
You can also price an entire portfolio. After creating instrument objects and pricer
objects, you can add the instrument and pricer objects to a
finportfolio object and then price the portfolio using this workflow:
Create instrument objects using fininstrument.
myInst1 = fininstrument(InstType,…) myInst2 = fininstrument(InstType,…)
Create model objects using finmodel.
myModel = finmodel(ModelType,…) myModel2 = finmodel(ModelType,…)
Create one or more ratecurve objects using ratecurve.
myRC1 = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC2 = ratecurve('zero',Settle,ZeroDates,ZeroRates)
Create a pricer object using finpricer.
myPricer1 = finpricer(PricerType,myModel,myRC1,...) myPricer2 = finpricer(PricerType,myModel,myRC2,...)
Create a portfolio object using finportfolio.
IP = finportfolio([MyInst1,MyInst2],[MyPricer1,MyPricer2],...)
Price the portfolio using pricePortfolio.
[portPrice, portSens, instPrice, instSens] = price(IP)
For an example showing how to use this workflow to create a portfolio, see Workflow to Create and Price a Portfolio of Instruments.
fininstrument | finmodel | finpricer