Portfolio Valuation

Manage portfolios of instruments, perform portfolio hedging and rebalancing

Functions

Manage Portfolio

`instadd`	Add types to instrument collection
`instaddfield`	Add new instruments to instrument collection
`instdelete`	Complement of instrument set by matching conditions
`instdisp`	Display instruments
`instfields`	List field names
`instfind`	Search instruments for matching conditions
`instget`	Data from instrument variable
`instgetcell`	Data and context from instrument variable
`instlength`	Count instruments
`instselect`	Create instrument subset by matching conditions
`instsetfield`	Add or reset data for existing instruments
`insttypes`	List types
`stockspec`	Create stock structure
`intenvset`	Set properties of interest-rate structure
`basketstockspec`	Specify basket stock structure using Longstaff-Schwartz model

Hedge Portfolio

`hedgeopt`	Allocate optimal hedge for target costs or sensitivities
`hedgeslf`	Self-financing hedge

Examples and How To

Creating a Portfolio

Portfolio Creation

Use the instadd function to create an instrument portfolio or to add new instruments to an existing portfolio.

Adding Instruments to an Existing Portfolio

Use the instadd function to add additional instruments to an existing instrument portfolio.

Instrument Construction and Portfolio Management

You can create instruments and manage a collection of instruments as a portfolio.

Working with a Portfolio

Hedging Functions

Financial Instruments Toolbox™ offers two functions for assessing the fundamental hedging tradeoff, hedgeopt and hedgeslf.

Pricing a Portfolio Using the Black-Derman-Toy Model

This example illustrates how the Financial Instruments Toolbox™ is used to create a Black-Derman-Toy (BDT) tree and price a portfolio of instruments using the BDT model.

Pricing and Hedging a Portfolio Using the Black-Karasinski Model

This example illustrates how MATLAB® can be used to create a portfolio of interest-rate derivatives securities, and price it using the Black-Karasinski interest-rate model.

Specifying Constraints with ConSet

Specify a set of linear inequality constraints for instruments in your portfolio using ConSet.

Hedging with Constrained Portfolios

Examples to demonstrate hedging with constrained portfolios.