Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments

Object-Based Framework Workflow

Financial Instruments Toolbox™ supports an object framework for pricing financial instruments. There are three types of object constructors in the framework: fininstrument to create an instrument object, finmodel to create a model object, and finpricer to create a pricer object. The canonical workflow to price an instrument is:

1. Create an instrument object using fininstrument.

   myInst = fininstrument(InstType,…)

2. Create a model object using finmodel.

   myModel = finmodel(ModelType,…)

3. Create a ratecurve object using ratecurve.

   myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)

4. Create a pricer object using finpricer.

   myPricer = finpricer(PricerType,myModel,myRC,...)

5. Price the instrument using an associated price function.

   [Price, PriceResult] = price(myPricer, myInst,…)
   

For examples showing how to use this workflow to create different types of instruments, see:

• Workflow to Price an Interest-Rate Instrument

• Workflow to Price an Inflation Instrument

• Workflow to Price an Equity, Commodity, or FX Instrument

• Workflow to Price a Credit Derivative Instrument

• Workflow for Creating and Analyzing a ratecurve and parametercurve

You can also price an entire portfolio. After creating instrument objects and pricer objects, you can add the instrument and pricer objects to a finportfolio object and then price the portfolio using this workflow:

1. Create instrument objects using fininstrument.

   myInst1 = fininstrument(InstType,…)
   myInst2 = fininstrument(InstType,…)

2. Create model objects using finmodel.

   myModel = finmodel(ModelType,…)
   myModel2 = finmodel(ModelType,…)
   

3. Create one or more ratecurve objects using ratecurve.

   myRC1 = ratecurve('zero',Settle,ZeroDates,ZeroRates)
   myRC2 = ratecurve('zero',Settle,ZeroDates,ZeroRates)
   

4. Create a pricer object using finpricer.

   myPricer1 = finpricer(PricerType,myModel,myRC1,...)
   myPricer2 = finpricer(PricerType,myModel,myRC2,...)
   

5. Create a portfolio object using finportfolio.

   IP = finportfolio([MyInst1,MyInst2],[MyPricer1,MyPricer2],...)

6. Price the portfolio using pricePortfolio.

   [portPrice, portSens, instPrice, instSens] = price(IP)

For an example showing how to use this workflow to create a portfolio, see Workflow to Create and Price a Portfolio of Instruments.