instselect
Create instrument subset by matching conditions
Description
returns a variable containing a collection of instruments matching the input
criteria.InstSubSet
= instselect(InstSet
,Name,Value
)
Examples
Create Instrument Subset
Retrieve the instrument set variable 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
Make a new portfolio containing only options struck at 95
.
Opt95 = instselect(ExampleInst, 'FieldName', 'Strike','Data', '95')
Opt95 = struct with fields:
FinObj: 'Instruments'
IndexTable: [1x1 struct]
Type: {3x1 cell}
FieldName: {3x1 cell}
FieldClass: {3x1 cell}
FieldData: {3x1 cell}
instdisp(Opt95)
Index Type Strike Price Opt Contracts 1 Option 95 12.2 Call 0 2 Option 95 2.9 Put 0
Make a new portfolio containing only futures and Treasury bills.
FutTBill = instselect(ExampleInst,'Type',{'Futures';'TBill'})
FutTBill = struct with fields:
FinObj: 'Instruments'
IndexTable: [1x1 struct]
Type: {3x1 cell}
FieldName: {3x1 cell}
FieldClass: {3x1 cell}
FieldData: {3x1 cell}
instdisp(FutTBill)
Index Type Delivery F Contracts 1 Futures 01-Jul-1999 104.4 -1000 Index Type Price Maturity Contracts 2 TBill 99 01-Jul-1999 6
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. For more information on the InstSet
variable, see instget
.
Data Types: struct
Name-Value Arguments
Specify optional pairs of arguments as
Name1=Value1,...,NameN=ValueN
, where Name
is
the argument name and Value
is the corresponding value.
Name-value arguments must appear after other arguments, but the order of the
pairs does not matter.
Before R2021a, use commas to separate each name and value, and enclose
Name
in quotes.
Example: Opt95 =
instselect(ExampleInst,'FieldName','Strike','Data','95')
FieldName
— Name of each data field for instrument
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.
Data Types: char
| cell
Data
— Data values for field
cell array of character vectors
Data values for field, specified as the comma-separated pair consisting of
'Data'
and an NVALUES
-by-M
array or NFIELDS
-by-1
cell array of acceptable
data values for each field. Each row lists a data row value to search for in the
corresponding FieldName
. The number of columns is arbitrary and
matching ignores trailing NaN
s or spaces.
Data Types: double
| cell
Index
— Number of instruments
all types in the instrument variable (default) | vector
Number of instruments, specified as the comma-separated pair consisting of
'Index'
and an NINST
-by-1
vector restricting positions of instruments to check for matches. The default is all
indices available in the instrument variable.
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 to match one of
Type
types. The default is all types in the instrument variable.
Data Types: char
| cell
Output Arguments
InstSubSet
— Variable containing a collection of instruments matching input criteria
structure
Variable containing a collection of instruments matching the input criteria,
returned as a structure. Instruments are returned in InstSubSet
if
all the FieldName
, Index
, and
Type
conditions are met. An instrument meets an individual
FieldName
condition if the value matches any of the rows listed
in the Data
for that FieldName
. See instfind
for examples on matching criteria.
Version History
Introduced before R2006a
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