instgetcell

Data and context from instrument variable

Syntax

[DataList,FieldList,ClassList,IndexSet,TypeSet] = instgetcell(InstSet,Name,Value)

Description

[DataList,FieldList,ClassList,IndexSet,TypeSet] = instgetcell(InstSet,Name,Value) retrieves data and context from an instrument variable.

Note

instgetcell is best used for programming where the structure of the instrument variable is not known. instget gives more direct access to the data in a variable.

Examples

Retrieve Data and Context from Instrument Variable

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        
 

Get the prices and contracts from all instruments.

FieldList = {'Price'; 'Contracts'} 

FieldList = 2x1 cell
    {'Price'    }
    {'Contracts'}

DataList = instgetcell(ExampleInst, 'FieldName', FieldList ) 

DataList=2×1 cell array
    {7x1 double}
    {7x1 double}

P = DataList{1} 

P = 7×1

   12.2000
    9.2000
    6.8000
       NaN
    7.4000
    2.9000
   99.0000

C = DataList{2}

C = 7×1

           0
           0
        1000
       -1000
       -1000
           0
           6

Get all the option data: Strike, Price, Opt, Contracts.

[DataList, FieldList, ClassList] = instgetcell(ExampleInst,'Type','Option')

DataList=4×1 cell array
    {5x1 double}
    {5x1 double}
    {5x4 char  }
    {5x1 double}

FieldList = 4x1 cell
    {'Strike'   }
    {'Price'    }
    {'Opt'      }
    {'Contracts'}

ClassList = 4x1 cell
    {'dble'}
    {'dble'}
    {'char'}
    {'dble'}

Look at the data as a comma-separated list.

DataList{:}

ans = 5×1

    95
   100
   105
   105
    95

ans = 5×1

   12.2000
    9.2000
    6.8000
    7.4000
    2.9000

ans = 5x4 char array
    'Call'
    'Call'
    'Call'
    'Put '
    'Put '

ans = 5×1

           0
           0
        1000
       -1000
           0

Input Arguments

InstSet — Instrument variable

structure

Instrument variable containing a collection of instruments, specified as InstSet structure. Instruments are classified by type; each type can have different data fields. The stored data field is a row vector or character vector for each instrument.

Data Types: struct

Name-Value Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: DataList = instgetcell(ExampleInst,'FieldName',FieldList)

FieldName — Name of each data field for instrument

all fields available for returned set of instruments (default) | cell array of character vectors

Name of each data field for an instrument, specified as the comma-separated pair consisting of 'FieldName' and an NFIELDS-by-1 cell array of character vectors. FieldName entries can also be either Type or Index; these return type strings and index numbers respectively.

Data Types: char | cell

Index — Number of instruments

all indices available in instrument variable (default) | vector

Number of instruments, specified as the comma-separated pair consisting of 'Index' and an NINST-by-1 vector of positions of instruments to work on. If Type is also entered, instruments referenced must be one of the types and contained in Index.

Data Types: double

Type — Number of types

all types in the instrument variable (default) | character vector

Number of types, specified as the comma-separated pair consisting of 'Type' and a NTYPES-by-1 cell array of character vectors restricting instruments worked on to match one of Type types.

Data Types: char | cell

Output Arguments

DataList — Data contents for each field

cell array

Data content for each field, returned as an NFIELDS-by-1 cell array of data contents for each field. Each cell is an NINST-by-M array, where each row corresponds to a separate instrument in IndexSet. Any data which is not available is returned as NaN or as spaces.

FieldList — Name of each field in DataList

cell array

Name of each field in DataList, returned as an NFIELDS-by-1 cell array of character vectors.

ClassList — Data class of each field

array

Data class of each field, returned as an NFIELDS-by-1 cell array of character vectors. The class determines how arguments are parsed. Valid character vectors are 'dble', 'date', and 'char'.

IndexSet — Positions of instruments

cell array

Positions of instruments, returned as an NINST-by-1 vector of positions of instruments returned in DataList.

TypeSet — Type of each instrument

cell array

Type of each instrument, returned as an NINST-by-1 cell array of character vectors listing the type of each instrument row returned in DataList.