instget (Financial Derivatives Toolbox)

Retrieve data from instrument variable

Syntax

[Data_1, Data_2,...,Data_n] = instget(InstSet, 'FieldName', 
FieldList,  'Index', IndexSet, 'Type', TypeList)

Arguments

InstSet
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.

FieldList
(Optional) String or number of fields (NFIELDS)-by-1 cell array of strings listing the name of each data field to match with data values. FieldList entries can also be either 'Type' or 'Index'; these return type strings and index numbers respectively. The default is all fields available for the returned set of instruments.

IndexSet
(Optional) Number of instruments (NINST)-by-1 vector of positions of instruments to work on. If TypeList is also entered, instruments referenced must be one of TypeList types and contained in IndexSet. The default is all indices available in the instrument variable.

TypeList
(Optional) String or number of types (NTYPES)-by-1 cell array of strings restricting instruments to match one of TypeList types. The default is all types in the instrument variable.

`InstSet`	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.
`FieldList`	(Optional) String or number of fields (`NFIELDS`)-by-`1` cell array of strings listing the name of each data field to match with data values. `FieldList` entries can also be either `'Type'` or `'Index'`; these return type strings and index numbers respectively. The default is all fields available for the returned set of instruments.
`IndexSet`	(Optional) Number of instruments (`NINST`)-by-`1` vector of positions of instruments to work on. If `TypeList` is also entered, instruments referenced must be one of `TypeList` types and contained in `IndexSet`. The default is all indices available in the instrument variable.
`TypeList`	(Optional) String or number of types (`NTYPES`)-by-`1` cell array of strings restricting instruments to match one of TypeList types. The default is all types in the instrument variable.

Parameter value pairs can be entered in any order. The InstSet variable must be the first argument.

Description

[Data_1, Data_2,...,Data_n] = instget(InstSet, 'FieldName', FieldList, 'Index', IndexSet, 'Type', TypeList) retrieve data arrays from an instrument variable.

Data_1 is an NINST-by-M array of data contents for the first field in FieldList. Each row corresponds to a separate instrument in IndexSet. Unavailable data is returned as NaN or as spaces.

Data_n is an NINST-by-M array of data contents for the last field in FieldList.

Examples

Retrieve the instrument set ExampleInst from the data file. InstSetExamples.mat. ExampleInst contains three types of instruments: Option, Futures, and TBill.

load InstSetExamples; 
instdisp(ExampleInst)

Index Type   Strike Price Opt  Contracts
1     Option  95    12.2  Call     0     
2     Option 100     9.2  Call     0     
3     Option 105     6.8  Call  1000     

Index Type    Delivery       F     Contracts
4     Futures 01-Jul-1999    104.4 -1000   
  
Index Type   Strike Price Opt  Contracts
5     Option 105      7.4 Put  -1000     
6     Option  95      2.9 Put      0     

Index Type Price Maturity       Contracts
7     TBill 99    01-Jul-1999   6

Extract the price from all instruments.

P = instget(ExampleInst,'FieldName','Price')

P =

   12.2000
    9.2000
    6.8000
       NaN
    7.4000
    2.9000
   99.0000

Get all the prices and the number of contracts held.

[P,C] = instget(ExampleInst, 'FieldName', {'Price', 'Contracts'}) 



P =

   12.2000
    9.2000
    6.8000
       Nan
    7.4000
    2.9000
   99.0000

C =

      0
      0
   1000
  -1000
  -1000
      0
      6

Compute a value V. Create a new variable ISet that appends V to ExampleInst.

V = P.*C 
ISet = instsetfield(ExampleInst, 'FieldName', 'Value', 'Data',... 
V); 
instdisp(ISet) 

Index Type   Strike Price Opt  Contracts Value
1     Option  95     12.2 Call    0           0 
2     Option 100      9.2 Call    0           0 
3     Option 105      6.8 Call  1000       6800 

Index Type    Delivery       F     Contracts Value 
4     Futures 01-Jul-1999    104.4 -1000     NaN

Index Type   Strike Price Opt  Contracts Value
5     Option 105     7.4 Put  -1000      -7400 
6     Option  95     2.9 Put     0           0 

Index Type Price Maturity       Contracts Value
7     TBill 99    01-Jul-1999   6         594

Look at only the instruments which have nonzero Contracts.

Ind = find(C ~= 0) 

Ind =

     3
     4
     5
     7

Get the Type and Opt parameters from those instruments.(Only options have a stored 'Opt' field.)

[T,O] = instget(ExampleInst, 'Index', Ind, 'FieldName',... 
{'Type', 'Opt'}) 

T =

Option 
Futures
Option 
TBill   

O =

Call
    
Put

Create a string report of holdings Type, Opt, and Value.

rstring = [T, O, num2str(V(Ind))] 

rstring =

Option Call   6800
Futures        NaN
Option Put   -7400
TBill          594

instfloor instgetcell