instadd (Financial Derivatives Toolbox)

Add types to instrument collection

Syntax

Bond instrument. (See also instbond.)

InstSet = instadd('Bond', CouponRate, Settle, Maturity, Period, 
Basis, EndMonthRule, IssueDate, FirstCouponDate, LastCouponDate, 
StartDate, Face) 

Arbitrary cash flow instrument. (See also instcf.)
InstSet = instadd('CashFlow', CFlowAmounts, CFlowDates, Settle, 
Basis) 

Bond option. (See also instoptbnd.) 
InstSet = instadd('OptBond', BondIndex, OptSpec, Strike, 
ExerciseDates, AmericanOpt) 

Fixed rate note instrument. (See also instfixed.)
InstSet = instadd('Fixed', CouponRate, Settle, Maturity, Reset, 
Basis, Principal) ) 

Floating rate note instrument. (See also instfloat.)
InstSet = instadd('Float', Spread, Settle, Maturity, Reset, Basis, 
Principal ) 

Cap instrument. (See also instcap.)
InstSet = instadd('Cap', Strike, Settle, Maturity, Reset, Basis, 
Principal) 

Floor instrument. (See also instfloor.)
InstSet = instadd('Floor', Strike, Settle, Maturity, Reset, Basis, 
Principal) 

Swap instrument. (See also instswap.)
InstSet = instadd('Swap', LegRate, Settle, Maturity, LegReset, 
Basis, Principal, LegType) 

To add instruments to an existing collection: 
InstSet = instadd(InstSetOld, TypeString, Data1, Data2, ...)

Arguments

For more information on instrument data parameters, see the reference entries for individual instrument types. For example, see instcap for additional information on the cap instrument.

InstSetOld
Variable containing a collection of instruments. Instruments are classified by type; each type can have different data fields. The stored data field is a row vector or string for each instrument.

`InstSetOld`	Variable containing a collection of instruments. Instruments are classified by type; each type can have different data fields. The stored data field is a row vector or string for each instrument.

Description

instadd stores instruments of types 'Bond', 'CashFlow', 'OptBond', 'Fixed', 'Float', 'Cap', 'Floor', or 'Swap'. Pricing and sensitivity routines are provided for these instruments.

InstSet is an instrument set variable containing the new input data.

Example

Create a portfolio with two cap instruments and a 4% bond.

Strike = [0.06; 0.07]; 
CouponRate = 0.04; 
Settle = '06-Feb-2000'; 
Maturity = '15-Jan-2003';  

InstSet = instadd('Cap', Strike, Settle, Maturity); 
InstSet = instadd(InstSet, 'Bond', CouponRate, Settle, Maturity); 
instdisp(InstSet)
 
Index Type Strike Settle        Maturity       CapReset Basis Principal
1     Cap  0.06   06-Feb-2000   15-Jan-2003    NaN      NaN   NaN      
2     Cap  0.07   06-Feb-2000   15-Jan-2003    NaN      NaN   NaN    
  
Index Type CouponRate Settle         Maturity ...      
3     Bond 0.04       06-Feb-2000    15-Jan-2003...

See Also

instbond, instcap, instcf, instfixed, instfloat, instfloor, instoptbnd, instswap

hjmvolspec instaddfield