fininstrument
Description
creates an instrument object for one or more instruments specified by the
Instrument
= fininstrument(InstrumentType
,Name,Value
)InstrumentType
and specifies options using one or more name-value
pair arguments. The available name-value pair arguments depend on the
InstrumentType
you specify.
For more information on the workflow for creating an instrument object, a model object, and a pricer object, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available instruments, models, and pricing methods, see Choose Instruments, Models, and Pricers.
Examples
Use fininstrument
to Create OptionEmbeddedFixedBond
Instrument
Use fininstrument
to create an OptionEmbeddedFixedBond
instrument object.
CallDates = datetime(2025,9,15) + calyears([0 1 2]'); CallStrikes = [101 103 105]'; CallSchedule = timetable(CallDates,CallStrikes); OptionEmbedFixedBOption = fininstrument("OptionEmbeddedFixedBond",'Maturity',"15-Sep-2031",'CouponRate',.03,'CallSchedule',CallSchedule,'Period',1,'Name',"option_embedded_fixedbond")
OptionEmbedFixedBOption = OptionEmbeddedFixedBond with properties: CouponRate: 0.0300 Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 15-Sep-2031 CallDates: [3x1 datetime] PutDates: [0x1 datetime] CallSchedule: [3x1 timetable] PutSchedule: [0x0 timetable] CallExerciseStyle: "bermudan" PutExerciseStyle: [0x0 string] Name: "option_embedded_fixedbond"
Input Arguments
InstrumentType
— Type of instrument
character vector | string
Type of instrument, specified as a scalar string or character vector.
Use these options for interest-rate instruments:
"CMS"
— For more information, seeCMS
."CMSNote"
— For more information, seeCMSNote
."Deposit"
— For more information, seeDeposit
."FRA"
— For more information, seeFRA
."FixedBond"
— For more information, seeFixedBond
."FixedBondOption"
— For more information, seeFixedBondOption
."FloatBond"
— For more information, seeFloatBond
."FloatBondOption"
— For more information, seeFloatBondOption
."OptionEmbeddedFixedBond"
— For more information, seeOptionEmbeddedFixedBond
."OptionEmbeddedFloatBond"
— For more information, seeOptionEmbeddedFloatBond
."Swap"
— For more information, seeSwap
."Cap"
— For more information, seeCap
."Floor"
— For more information, seeFloor
."Swaption"
— For more information, seeSwaption
."STIRFuture"
— For more information, seeSTIRFuture
."OISFuture"
— For more information, seeOISFuture
."OvernightIndexSwap"
— For more information, seeOvernightIndexedSwap
."BondFuture"
— For more information, seeBondFuture
."ConvertibleBond"
— For more information, seeConvertibleBond
.
Use these options for inflation instruments:
"InflationBond"
— For more information, seeInflationBond
."YearYearInflationSwap"
— For more information, seeYearYearInflationSwap
."ZeroCouponInflationSwap"
— For more information, seeZeroCouponInflationSwap
."YearYearInflationCap"
— For more information, seeYearYearInflationCap
."YearYearInflationFloor"
— For more information, seeYearYearInflationFloor
."ZeroCouponInflationCap"
— For more information, seeZeroCouponInflationCap
."ZeroCouponInflationFloor"
— For more information, seeZeroCouponInflationFloor
.
Use these options for equity, commodity, FX, or energy instruments:
"Vanilla"
— For more information, seeVanilla
."Lookback"
— For more information, seeLookback
."PartialLookback"
— For more information, seePartialLookback
."Barrier"
— For more information, seeBarrier
."DoubleBarrier"
— For more information, seeDoubleBarrier
."Asian"
— For more information, seeAsian
."Spread"
— For more information, seeSpread
."VarianceSwap"
— For more information, seeVarianceSwap
."CurrencySwap"
— For more information, seeCurrencySwap
."Touch"
— For more information, seeTouch
."DoubleTouch"
— For more information, seeDoubleTouch
."Cliquet"
— For more information, seeCliquet
."Binary"
— For more information, seeBinary
."CommodityFuture"
— For more information, seeCommodityFuture
."EquityIndexFuture"
— For more information, seeEquityIndexFuture
."FXFuture"
— For more information, seeFXFuture
."ConvertibleBond"
— For more information, seeConvertibleBond
.
Use these options for credit derivative instruments:
Data Types: string
| char
Name-Value Arguments
Specify optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where Name
is
the argument name and Value
is the corresponding value.
Name-value arguments must appear after other arguments, but the order of the
pairs does not matter.
Before R2021a, use commas to separate each name and value, and enclose
Name
in quotes.
Example: Instrument = fininstrument("Cap",Name,Value)
The available name-value pair arguments depend on the value you specify for
InstrumentType
.
CMS
— For more information, see Name-Value Arguments.CMSNote
— For more information, see Name-Value Arguments.Deposit
— For more information, see Name-Value Arguments.FRA
— For more information, see Name-Value Arguments.FixedBond
— For more information, see Name-Value Arguments.FixedBondOption
— For more information, see Name-Value Arguments.FloatBond
— For more information, see Name-Value Arguments.FloatBondOption
— For more information, see Name-Value Arguments.OptionEmbeddedFixedBond
— For more information, see Name-Value Arguments.OptionEmbeddedFloatBond
— For more information, see Name-Value Arguments.Swap
— For more information, see Name-Value Arguments.Cap
— For more information, see Name-Value Arguments.Floor
— For more information, see Name-Value Arguments.Swaption
— For more information, see Name-Value Arguments.STIRFuture
— For more information, see Name-Value Arguments.OvernightIndexedSwap
— For more information, see Name-Value Arguments.OISFuture
— For more information, see Name-Value Arguments.BondFuture
— For more information, see Name-Value Arguments.ConvertibleBond
— For more information, see Name-Value Arguments.
InflationBond
— For more information, see Name-Value Arguments.YearYearInflationSwap
— For more information, see Name-Value Arguments.ZeroCouponInflationSwap
— For more information, see Name-Value Arguments.YearYearInflationCap
— For more information, see Name-Value Arguments.YearYearInflationFloor
— For more information, see Name-Value Arguments.ZeroCouponInflationCap
— For more information, see Name-Value Arguments.ZeroCouponInflationFloor
— For more information, see Name-Value Arguments.
Vanilla
— For more information, see Name-Value Arguments.Lookback
— For more information, see Name-Value Arguments.PartialLookback
— For more information, see Name-Value Arguments.Barrier
— For more information, see Name-Value Arguments.DoubleBarrier
— For more information, see Name-Value Arguments.Asian
— For more information, see Name-Value Arguments.Spread
— For more information, see Name-Value Arguments.VarianceSwap
— For more information, see Name-Value Arguments.CurrencySwap
— For more information, see Name-Value Arguments.Touch
— For more information, see Name-Value Arguments.DoubleTouch
— For more information, see Name-Value Arguments.Cliquet
— For more information, see Name-Value Arguments.Binary
— For more information, see Name-Value Arguments.CommodityFuture
— For more information, see Name-Value Arguments.EquityIndexFuture
— For more information, see Name-Value Arguments.FXFuture
— For more information, see Name-Value Arguments.ConvertibleBond
— For more information, see Name-Value Arguments.
CDS
— For more information, see Name-Value Arguments.CDSOption
— For more information, see Name-Value Arguments.
Output Arguments
Instrument
— Instrument
instrument object
Instrument, returned as an instrument object.
Version History
Introduced in R2020aR2024a: Added Support for CurrencySwap
Instrument
fininstrument
supports a CurrencySwap
instrument.
R2023b: Added Support for YearYearInflationCap
, YearYearInflationFloor
, ZeroCouponInflationCap
, and
ZeroCouponInflationFloor
Instruments
fininstrument
supports YearYearInflationCap
, YearYearInflationFloor
, ZeroCouponInflationCap
, and ZeroCouponInflationFloor
instruments.
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