乐器Constructors

The toolbox provides constructors for the most common financial instruments. A构造函数是构建专用于某种类型对象的结构的函数；在此工具箱中，object是一种市场工具。

The instruments and their constructor functions are listed below.

Each instrument has parameters (fields) that describe the instrument. The toolbox functions let you do the following:

The instrument structure consists of various fields according to instrument type. Afieldis an element of data associated with the instrument. For example, a bond instrument contains the fields:优惠券比例,定居,Maturity。Also, each instrument has a field that identifies the investment type (bond, cap, floor, and so on).

In reality, the set of parameters for each instrument is not fixed. You have the ability to add additional parameters. These additional fields are ignored by the toolbox functions. They may be used to attach additional information to each instrument, such as an internal code describing the bond.

Parameters not specified when创建an instrument default toNaN，通常，这意味着使用仪器集的功能（例如intenvprice或者hjmprice) will use default values. At the time of价钱，如果缺少任何必需字段，则会发生错误Strikein a cap or优惠券比例在债券中。

Creating Instruments or Properties

Use theInstaddfieldfunction to create a kind of instrument or to add new properties to the instruments in an existing instrument collection.

To create a kind of instrument withInstaddfield，您必须指定三个参数：

Typedefines the type of the new instrument, for example,Future。FieldName相关的领域独特的新名字type of instrument.Datacontains the data for the fields of the new instrument.

An optional fourth argument isClassList。ClassListspecifies the data types of the contents of each unique field for the new instrument.

Use either syntax to create a kind of instrument usingInstaddfield:

instset = instaddfield（'fieldName'，fieldList，'data'，datalist，...'type'，typestring）instset = instaDdfield（'fieldName'，fieldList，'fieldClass'，'fieldclass'，... classlist，... classList，'data'，dataList，datalist，datalist，datalist，数据“类型”，打字）

To add new instruments to an existing set, use:

InstsetNew = Instaddfield（Instsetold，'fieldName'，fieldlist，...'data'，datalist，'type'，typestring）

As an example, consider a futures contract with a delivery date of July 15, 2000, and a quoted price of $104.40. Since Financial Instruments Toolbox™ software does not directly support this instrument, you must create it using the functionInstaddfield。Use these parameters to create instruments:

将数据输入MATLAB^®软件：

type ='Future';FieldName = {'送货','Price'}; Data = {'Jul-15-2000', 104.4};

最后，用单个仪器创建投资组合：

Port = instaddfield('Type', Type,'fieldname'，fieldname，...'Data'， 数据）;

Now use the functionInstdispto examine the resulting single-instrument portfolio:

Instdisp（端口）索引类型交付价格1 Future 15-2000 104.4

Because your portfolioPort与使用该功能创建的结构相同instadd，您可以使用使用的投资组合来使用instadd使用使用的投资组合Instaddfield。例如，您现在可以添加两个帽仪器Portwithinstadd。

Strike = [0.06; 0.07]; Settle ='08-Feb-2000';成熟度='15-Jan-2003';Port = instadd(Port,'Cap', Strike, Settle, Maturity);

View the resulting portfolio usingInstdisp。

Instdisp(Port) Index Type Delivery Price 1 Future 15-Jul-2000 104.4 Index Type Strike Settle Maturity CapReset Basis Principal 2 Cap 0.06 08-Feb-2000 15-Jan-2003 1 0 100 3 Cap 0.07 08-Feb-2000 15-Jan-2003 1 0 100

Searching or Subsetting a Portfolio

金融仪器工具箱提供了使您能够：

TheInstfindfunction finds instruments with a specific parameter value; it returns an instrument index (position) in a large instrument set. TheInstselect另一方面，功能将大型仪器集中在具有指定参数值的仪器组合中；它返回仪器集（投资组合），而不是索引。

索引= instfind(InstSet, 'FieldName', FieldList, 'Data',... DataList, 'Index', IndexSet, 'Type', TypeList)

loadderiv.matInstdisp（HJMINSTSET）

Index Type CouponRate Settle Maturity Period Basis ... Name Quantity 1 Bond 0.04 01-Jan-2000 01-Jan-2003 1 NaN ... 4% bond 100 2 Bond 0.04 01-Jan-2000 01-Jan-2004 2 NaN ... 4% bond 50 Index Type UnderInd OptSpec Strike ExerciseDates AmericanOpt Name Quantity 3 OptBond 2 call 101 01-Jan-2003 NaN Option 101 -50 Index Type CouponRate Settle Maturity FixedReset Basis Principal Name Quantity 4 Fixed 0.04 01-Jan-2000 01-Jan-2003 1 NaN NaN 4% Fixed 80 Index Type Spread Settle Maturity FloatReset Basis Principal Name Quantity 5 Float 20 01-Jan-2000 01-Jan-2003 1 NaN NaN 20BP Float 8 Index Type Strike Settle Maturity CapReset Basis Principal Name Quantity 6 Cap 0.03 01-Jan-2000 01-Jan-2004 1 NaN NaN 3% Cap 30 Index Type Strike Settle Maturity FloorReset Basis Principal Name Quantity 7 Floor 0.03 01-Jan-2000 01-Jan-2004 1 NaN NaN 3% Floor 40 Index Type LegRate Settle Maturity LegReset Basis Principal LegType Name Quantity 8 Swap [0.06 20] 01-Jan-2000 01-Jan-2003 [1 1] NaN NaN [NaN] 6%/20BP Swap 10

Mat2003 =...instfind (HJMInstSet'fieldname','Maturity','Data','01-Jan-2003')

MAT2003 = 1 4 5 8

CapFloor = instfind(HJMInstSet,...'fieldname','Maturity','Data','01-Jan-2004','Type',...{'Cap';“地板”})

CapFloor = 6 7

Pos50 = instfind(HJMInstSet,'fieldname',...'Quantity','Data'，{'50';'-50'})

Pos50 = 2 3

mat2003 = ... instfind（hjminstset，'fieldname'，'raturity'，'data'，'01-Jan-003'）

MAT2003 = 1 4 5 8

Select2003 =...Instselect(HJMInstSet,'fieldname','Maturity','Data',...'01-Jan-2003'）Instdisp（Select2003）

Index Type CouponRate Settle Maturity Period Basis EndMonthRule IssueDate FirstCouponDate LastCouponDate StartDate Face Name Quantity 1 Bond 0.04 01-Jan-2000 01-Jan-2003 1 NaN NaN NaN NaN NaN NaN NaN 4% bond 100 Index Type CouponRate Settle Maturity FixedReset Basis Principal Name Quantity 2 Fixed 0.04 01-Jan-2000 01-Jan-2003 1 NaN NaN 4% Fixed 80 Index Type Spread Settle Maturity FloatReset Basis Principal Name Quantity 3 Float 20 01-Jan-2000 01-Jan-2003 1 NaN NaN 20BP Float 8 Index Type LegRate Settle Maturity LegReset Basis Principal LegType Name Quantity 4 Swap [0.06 20] 01-Jan-2000 01-Jan-2003 [1 1] NaN NaN [NaN] 6%/20BP Swap 10

loadinstsetexamples.matInstdisp（exampleinst）

索引类型打击价格选择合同1选项95 12.2呼叫0 2选项100 9.2呼叫0 3选项105 6.8呼叫1000索引类型交货F合同4期货1999年7月1日104.4 -1000索引价格打击价格选择合同5-1000 6选项95 2.9 PUT 0指数类型价格成熟合同7 TBILL 99 01-1999 6 6

InstSet = instselect(ExampleInst,'fieldname','罢工','Data',95); instdisp(InstSet)

Index Type Strike Price Opt Contracts 1 Option 95 12.2 Call 0 2 Option 95 2.9 Put 0