instoptbnd (Financial Derivatives Toolbox)

Construct bond option

Syntax

InstSet = instoptbnd(InstSet, BondIndex, OptSpec, Strike, 
ExerciseDates, AmericanOpt )
[FieldList, ClassList, TypeString] = instoptbnd

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.

BondIndex
Number of instruments (NINST)-by-1 vector of indices pointing to underlying instruments of Type 'Bond' which are also stored in InstSet. See instbond for information on specifying the bond data.

OptSpec
NINST-by-1 list of string values 'Call' or 'Put'.

The interpretation of the Strike and ExerciseDates arguments depends upon the setting of the AmericanOpt argument. If AmericanOpt = 0, NaN, or is unspecified, the option is a European or Bermuda option. If AmericanOpt = 1, the option is an American option.

Strike
For a European or Bermuda option:
NINST by number of strikes (NSTRIKES) matrix of strike price values. Each row is the schedule for one option. If an option has fewer than NSTRIKES exercise opportunities, the end of the row is padded with NaNs.

For an American option:
NINST-by-1 vector of strike price values for each option.

ExerciseDates
For a European or Bermuda option:
NINST-by-NSTRIKES matrix of exercise dates. Each row is the schedule for one option. For a European option, there is only one exercise date, the option expiry date.

For an American option:
NINST-by-2 vector of exercise date boundaries. For each instrument, the option can be exercised on any coupon date between or including the pair of dates on that row. If only one non-NaN date is listed, or if ExerciseDates is NINST-by-1, the option can be exercised between the underlying bond Settle and the single listed exercise date.

`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.
`BondIndex`	Number of instruments (`NINST`)-by-`1` vector of indices pointing to underlying instruments of Type `'Bond'` which are also stored in `InstSet`. See `instbond` for information on specifying the bond data.
`OptSpec`	`NINST`-by-`1` list of string values `'Call'` or `'Put'`.
The interpretation of the `Strike` and `ExerciseDates` arguments depends upon the setting of the `AmericanOpt` argument. If `AmericanOpt = 0`, `NaN`, or is unspecified, the option is a European or Bermuda option. If `AmericanOpt = 1`, the option is an American option.
`Strike`	For a European or Bermuda option: `NINST` by number of strikes (`NSTRIKES`) matrix of strike price values. Each row is the schedule for one option. If an option has fewer than `NSTRIKES` exercise opportunities, the end of the row is padded with `NaN`s. For an American option: `NINST`-by-`1` vector of strike price values for each option.
`ExerciseDates`	For a European or Bermuda option: `NINST`-by-`NSTRIKES` matrix of exercise dates. Each row is the schedule for one option. For a European option, there is only one exercise date, the option expiry date. For an American option: `NINST`-by-`2` vector of exercise date boundaries. For each instrument, the option can be exercised on any coupon date between or including the pair of dates on that row. If only one non-`NaN` date is listed, or if `ExerciseDates` is `NINST`-by-`1`, the option can be exercised between the underlying bond `Settle` and the single listed exercise date.

Data arguments are NINST-by-1 vectors, scalar, or empty. Fill unspecified entries in vectors with NaN. Only one data argument is required to create the instrument. The others may be omitted or passed as empty matrices [].

Description

InstSet = instoptbnd(InstSet, BondIndex, OptSpec, Strike, ExerciseDates) specifies a European or Bermuda option.

InstSet = instoptbnd(InstSet, BondIndex, OptSpec, Strike, ExerciseDates, AmericanOpt) specifies an American option if AmericanOpt is set to 1. If AmericanOpt is not set to 1, the function specifies a European or Bermuda option.

FieldList is a number of fields (NFIELDS)-by-1 cell array of strings listing the name of each data field for this instrument type.

ClassList is an NFIELDS-by-1 cell array of strings listing the data class of each field. The class determines how arguments are parsed. Valid strings are 'dble', 'date', and 'char'.

TypeString is a string specifying the type of instrument added. For a bond instrument, TypeString = 'Bond'.

See Also

hjmprice, instadd, instdisp, instget

instlength instselect