pricePortfolio
Description
Examples
Price Portfolio of Heterogeneous Instruments
Use finportfolio
and pricePortfolio
to create and price a portfolio containing a FixedBond
instrument and an American Vanilla
option instrument.
Create FixedBond
Instrument Object
Use fininstrument
to create a FixedBond
instrument object.
FixB = fininstrument("FixedBond",'Maturity',datetime(2022,9,15),'CouponRate',0.05,'Name',"fixed_bond")
FixB = FixedBond with properties: CouponRate: 0.0500 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_bond"
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
Instrument
Use finpricer
to create a Discount
pricer object and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
FBPricer = finpricer("Discount",'DiscountCurve',myRC)
FBPricer = Discount with properties: DiscountCurve: [1x1 ratecurve]
Create Vanilla
Instrument Object
Use fininstrument
to create an American Vanilla
instrument object.
Maturity = datetime(2023,9,15); AmericanOpt = fininstrument("Vanilla",'ExerciseDate',Maturity,'Strike',120,'ExerciseStyle',"american",'Name',"vanilla_option")
AmericanOpt = Vanilla with properties: OptionType: "call" ExerciseStyle: "american" ExerciseDate: 15-Sep-2023 Strike: 120 Name: "vanilla_option"
Create BlackScholes
Model Object for Vanilla
Instrument
Use finmodel
to create a BlackScholes
model object.
BSModel = finmodel("BlackScholes",'Volatility',0.12)
BSModel = BlackScholes with properties: Volatility: 0.1200 Correlation: 1
Create BjerksundStensland
Pricer Object for Vanilla
Instrument
Use finpricer
to create an analytic pricer object for the BjerksundStensland
pricing method and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
BJSPricer = finpricer("analytic",'Model',BSModel,'DiscountCurve',myRC,'SpotPrice',100,'DividendValue',.02,'PricingMethod',"BjerksundStensland")
BJSPricer = BjerksundStensland with properties: DiscountCurve: [1x1 ratecurve] Model: [1x1 finmodel.BlackScholes] SpotPrice: 100 DividendValue: 0.0200 DividendType: "continuous"
Add the Instruments to a finportfolio
Object
Create a finportfolio
object using finportfolio
and add the two instruments with their associated pricers to the portfolio.
f1 = finportfolio([AmericanOpt,FixB],[BJSPricer,FBPricer])
f1 = finportfolio with properties: Instruments: [2x1 fininstrument.FinInstrument] Pricers: [2x1 finpricer.FinPricer] PricerIndex: [2x1 double] Quantity: [2x1 double]
Price Portfolio
Use pricePortfolio
to compute the price and sensitivities for the portfolio and the instruments in the portfolio.
[PortPrice,InstPrice,PortSens,InstSens] = pricePortfolio(f1)
PortPrice = 119.1665
InstPrice = 2×1
3.1912
115.9753
PortSens=1×8 table
Price DV01 Delta Gamma Lambda Vega Theta Rho
______ _______ _______ ________ ______ ______ ________ _____
119.17 0.04295 0.23188 0.011522 7.2661 65.454 -0.81408 86.71
InstSens=2×8 table
Price DV01 Delta Gamma Lambda Vega Theta Rho
______ _______ _______ ________ ______ ______ ________ _____
vanilla_option 3.1912 NaN 0.23188 0.011522 7.2661 65.454 -0.81408 86.71
fixed_bond 115.98 0.04295 NaN NaN NaN NaN NaN NaN
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. You can use finportfolio
and pricePortfolio
to price FixedBond
, FixedBondOption
, OptionEmbeddedFixedBond
, and FloatBond
instruments using an IRTree
pricing method.
Create ratecurve
Object
Create a ratecurve
object using ratecurve
.
Settle = datetime(2018, 1, 1); ZeroTimes = calyears(1:4)'; ZeroRates = [0.035; 0.042147; 0.047345; 0.052707]; ZeroDates = Settle + ZeroTimes; Compounding = 1; ZeroCurve = ratecurve("zero",Settle,ZeroDates,ZeroRates, "Compounding",Compounding)
ZeroCurve = ratecurve with properties: Type: "zero" Compounding: 1 Basis: 0 Dates: [4x1 datetime] Rates: [4x1 double] Settle: 01-Jan-2018 InterpMethod: "linear" ShortExtrapMethod: "next" LongExtrapMethod: "previous"
Create Bond and Option Instruments
Use fininstrument
to create a FixedBond
, FixedBondOption
, OptionEmbeddedFixedBond
, and FloatBond
instrument objects.
CDates = datetime([2020,1,1 ; 2022,1,1]); CRates = [.0425; .0750]; CouponRate = timetable(CDates,CRates); Maturity = datetime(2022,1,1); Period = 1; % Vanilla FixedBond VBond = fininstrument("FixedBond",'Maturity',Maturity,'CouponRate',0.0425,'Period',Period,'Name',"vanilla_fixed")
VBond = FixedBond with properties: CouponRate: 0.0425 Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2022 Name: "vanilla_fixed"
% Stepped coupon bond SBond = fininstrument("FixedBond",'Maturity',Maturity,'CouponRate',CouponRate,'Period',Period,'Name',"stepped_coupon_bond")
SBond = FixedBond with properties: CouponRate: [2x1 timetable] Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2022 Name: "stepped_coupon_bond"
% FloatBond Spread = 0; Reset = 1; Float = fininstrument("FloatBond",'Maturity',Maturity,'Spread',Spread,'Reset', Reset,... 'ProjectionCurve',ZeroCurve,'Name',"floatbond")
Float = FloatBond with properties: Spread: 0 ProjectionCurve: [1x1 ratecurve] ResetOffset: 0 Reset: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" LatestFloatingRate: NaN Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2022 Name: "floatbond"
% Call option Strike = 100; ExerciseDates = datetime(2020,1,1); OptionType ='call'; Period = 1; CallOption = fininstrument("FixedBondOption",'Strike',Strike,'ExerciseDate',ExerciseDates,... 'OptionType',OptionType,'ExerciseStyle',"american",'Bond', VBond,'Name',"fixed_bond_option")
CallOption = FixedBondOption with properties: OptionType: "call" ExerciseStyle: "american" ExerciseDate: 01-Jan-2020 Strike: 100 Bond: [1x1 fininstrument.FixedBond] Name: "fixed_bond_option"
% Option for embedded bond (callable bond) CDates = datetime([2020,1,1 ; 2022,1,1]); CRates = [.0425; .0750]; CouponRate = timetable(CDates,CRates); StrikeOE = [100; 100]; ExerciseDatesOE = [datetime(2020,1,1); datetime(2021,1,1)]; CallSchedule = timetable(ExerciseDatesOE,StrikeOE,'VariableNames',{'Strike Schedule'}); CallableBond = fininstrument("OptionEmbeddedFixedBond", 'Maturity',Maturity,... 'CouponRate',CouponRate,'Period', Period, ... 'CallSchedule',CallSchedule,'Name',"option_embedded_fixedbond")
CallableBond = OptionEmbeddedFixedBond with properties: CouponRate: [2x1 timetable] Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2022 CallDates: [2x1 datetime] PutDates: [0x1 datetime] CallSchedule: [2x1 timetable] PutSchedule: [0x0 timetable] CallExerciseStyle: "american" PutExerciseStyle: [0x0 string] Name: "option_embedded_fixedbond"
Create HullWhite
Model
Use finmodel
to create a HullWhite
model object.
VolCurve = 0.01; AlphaCurve = 0.1; HWModel = finmodel("hullwhite",'alpha',AlphaCurve,'sigma',VolCurve)
HWModel = HullWhite with properties: Alpha: 0.1000 Sigma: 0.0100
Create IRTree
Pricer for HullWhite
Model
Use finpricer
to create an IRTree
pricer object for a HullWhite
model and use the ratecurve
object for the 'DiscountCurve'
name-value pair argument.
HWTreePricer = finpricer("IRTree",'Model',HWModel,'DiscountCurve',ZeroCurve,'TreeDates',ZeroDates)
HWTreePricer = HWBKTree with properties: Tree: [1x1 struct] TreeDates: [4x1 datetime] Model: [1x1 finmodel.HullWhite] DiscountCurve: [1x1 ratecurve]
Create finportfolio
Object and Add Callable Bond Instrument
Create a finportfolio
object with the vanilla bond, stepped coupon bond, float bond, and the call option.
myportfolio = finportfolio([VBond,SBond,Float,CallOption],HWTreePricer, [1,2,2,1])
myportfolio = finportfolio with properties: Instruments: [4x1 fininstrument.FinInstrument] Pricers: [1x1 finpricer.irtree.HWBKTree] PricerIndex: [4x1 double] Quantity: [4x1 double]
Use addInstrument
to add the callable bond instrument to the existing portfolio.
myportfolio = addInstrument(myportfolio,CallableBond,HWTreePricer,1)
myportfolio = finportfolio with properties: Instruments: [5x1 fininstrument.FinInstrument] Pricers: [1x1 finpricer.irtree.HWBKTree] PricerIndex: [5x1 double] Quantity: [5x1 double]
myportfolio.PricerIndex
ans = 5×1
1
1
1
1
1
The PricerIndex
property has a length equal to the length of instrument objects in the finportfolio
object and stores the index of which pricer is used for each instrument object. In this case, because there is only one pricer, each instrument must use that pricer.
Price Portfolio
Use pricePortfolio
to compute the price and sensitivities for the portfolio and the bond and option instruments in the portfolio.
format bank
[PortPrice,InstPrice,PortSens,InstSens] = pricePortfolio(myportfolio)
PortPrice = 600.55
InstPrice = 5×1
96.59
204.14
200.00
0.05
99.77
PortSens=1×4 table
Price Delta Gamma Vega
______ ________ _______ ______
600.55 -1297.48 5759.65 -63.40
InstSens=5×4 table
Price Delta Gamma Vega
______ _______ _______ ______
vanilla_fixed 96.59 -344.81 1603.49 -0.00
stepped_coupon_bond 204.14 -725.96 3364.60 0.00
floatbond 200.00 0.00 -0.00 -0.00
fixed_bond_option 0.05 -3.69 24.15 12.48
option_embedded_fixedbond 99.77 -223.03 767.41 -75.88
Input Arguments
inPort
— Portfolio object
finportfolio
object
Portfolio object, previously created using finportfolio
.
Data Types: object
Output Arguments
PortPrice
— Price of portfolio of instruments
numeric
Price of the portfolio of instruments, returned as a numeric.
InstPrice
— Instrument prices
numeric
Instrument prices, returned as a numeric.
PortSens
— Portfolio sensitivities
numeric
Portfolio sensitivities, returned as a numeric.
InstSens
— Instrument sensitivities
numeric
Instrument sensitivities, returned as a numeric.
Version History
Introduced in R2020a
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