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FloatBondOption

FloatBondOption instrument object

Since R2020a

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Description

Create and price a FloatBondOption instrument object for one or more Float Bond Option instruments using this workflow:

  1. Use fininstrument to create an FloatBondOption instrument object for one or more Float Bond Option instruments.

  2. Use finmodel to specify a HullWhite, BlackKarasinski, BlackDermanToy, BraceGatarekMusiela, SABRBraceGatarekMusiela, CoxIngersollRoss, or LinearGaussian2F model for the FloatBondOption instrument object.

  3. Choose a pricing method.

For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.

For more information on the available models and pricing methods FloatBondOption instrument, see Choose Instruments, Models, and Pricers.

Creation

Syntax

FloatBondOptionObj = fininstrument(InstrumentType,'Strike',strike_value,'ExerciseDate',exercise_date,'Bond',bond_obj)
FloatBondOptionObj = fininstrument(___,Name,Value)

Description

FloatBondOptionObj = fininstrument(InstrumentType,'Strike',strike_value,'ExerciseDate',exercise_date,'Bond',bond_obj) creates a FloatBond object for one or more Float Bond Option instruments by specifying InstrumentType and sets properties using the required name-value pair arguments Strike, ExerciseDate, and Bond.

example

FloatBondOptionObj = fininstrument(___,Name,Value) sets optional properties using additional name-value pair arguments in addition to the required arguments in the previous syntax. For example, FloatBondOptionObj = fininstrument("FloatBondOption",'Strike',100,'ExerciseDate',datetime(2019,1,30),'Bond',bond_obj,'OptionType','put','ExerciseStyle',"american",'Name',"float_bond_option") creates a FloatBondOption instrument with a strike of 100 and an American exercise. You can specify multiple name-value pair arguments.

example

Input Arguments

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Instrument type, specified as a string with the value of "FloatBondOption", a character vector with the value of 'FloatBondOption', an NINST-by-1 string array with values of "FloatBondOption", or an NINST-by-1 cell array of character vectors with values of 'FloatBondOption'.

Data Types: char | cell | string

Name-Value Arguments

Specify required and 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: FloatBondOptionObj = fininstrument("FloatBondOption",'Strike',100,'ExerciseDate',datetime(2019,1,30),'Bond',bond_obj,'OptionType','put','ExerciseStyle',"american",'Name',"float_bond_option")

Required FloatBondOption Name-Value Pair Arguments

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Option strike value, specified as the comma-separated pair consisting of 'Strike' and a scalar nonnegative value or an NINST-by-1 vector of nonnegative values.

Data Types: double

Option exercise date, specified as the comma-separated pair consisting of 'ExerciseDate' and a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, FloatBondOption also accepts serial date numbers as inputs, but they are not recommended.

  • For a European option, there is only one ExerciseDate on the option expiry date.

  • For a Bermudan option, there is a 1-by-NSTRIKES vector of exercise dates.

  • For an American option, the option can be exercised between ValuationDate of the stock tree and the single listed ExerciseDate.

If you use date character vectors or strings, the format must be recognizable by datetime because the Maturity property is stored as a datetime.

Underlying float bond, specified as the comma-separated pair consisting of 'Bond' and the name of a FloatBond object or an NINST-by-1 vector of FloatBond objects.

Data Types: object

Optional FloatBondOption Name-Value Pair Arguments

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Definition of option, specified as the comma-separated pair consisting of 'OptionType' and a scalar character vector or a string or an NINST-by-1 cell array of character vectors or string array using 'call' or 'put'.

With a call option, the issuer has the right to redeem the note before its maturity date. This allows the issuer to refinance the debt at a lower rate if market conditions become favorable.

With a put option, the investor has the right to sell the note back to the issuer before its maturity date. This provides the investor with the flexibility to exit the investment if interest rates rise or market conditions change unfavorably.

Data Types: char | cell | string

Option type, specified as the comma-separated pair consisting of 'ExerciseStyle' and a scalar character vector or string or an NINST-by-1 cell array of character vectors or string array.

Data Types: string | cell | char

User-defined name for one of more instruments, specified as the comma-separated pair consisting of 'Name' and a scalar string or character vector or an NINST-by-1 cell array of character vectors or string array.

Data Types: char | cell | string

Properties

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Instrument type, returned as a scalar string or an NINST-by-1 string array.

Data Types: string

Option strike value, returned as a scalar nonnegative value or an NINST-by-1 vector of nonnegative values.

Data Types: double

Option exercise date, returned as a scalar datetime or an NINST-by-1 vector of datetimes.

Data Types: datetime

Definition of option, returned as a scalar string or an NINST-by-1 string array.

Data Types: string

Option type, returned as a scalar string or an NINST-by-1 string array.

Data Types: string

Underlying float bond, returned as a scalar FloatBond object or an NINST-by-1 vector of FloatBond objects.

Data Types: object

User-defined name for the instrument, returned as a scalar string or an NINST-by-1 string array.

Data Types: string

Object Functions

setExercisePolicySet exercise policy for FixedBondOption, FloatBondOption, or Vanilla instrument

Examples

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Open Live Script

This example shows the workflow to price a FloatBondOption instrument when you use a HullWhite model and an IRTree pricing method.

Create FloatBond Instrument Object

Use fininstrument to create a FloatBond instrument object as the underlying bond.

BondInst = fininstrument("FloatBond",'Maturity',datetime(2030,9,15),'Spread',0.021,'Name',"bond_instrument")
BondInst = 
  FloatBond with properties:

                      Spread: 0.0210
             ProjectionCurve: [0x0 ratecurve]
                 ResetOffset: 0
                       Reset: 2
                       Basis: 0
                EndMonthRule: 1
                   Principal: 100
    DaycountAdjustedCashFlow: 0
       BusinessDayConvention: "actual"
          LatestFloatingRate: NaN
                    Holidays: NaT
                   IssueDate: NaT
             FirstCouponDate: NaT
              LastCouponDate: NaT
                   StartDate: NaT
                    Maturity: 15-Sep-2030
                        Name: "bond_instrument"

Create FloatBondOption Instrument Objects

Use fininstrument to create three callable FloatBondOption instrument objects with European, American, and Bermudan exercise.

FloatBOptionEuro = fininstrument("FloatBondOption",'ExerciseDate',datetime(2029,9,15),'Strike',98,'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"european",'Name',"float_bond_option_european")
FloatBOptionEuro = 
  FloatBondOption with properties:

       OptionType: "call"
    ExerciseStyle: "european"
     ExerciseDate: 15-Sep-2029
           Strike: 98
             Bond: [1x1 fininstrument.FloatBond]
             Name: "float_bond_option_european"


FloatBOptionAmerican = fininstrument("FloatBondOption",'ExerciseDate',datetime(2029,9,15),'Strike',98,'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"american",'Name',"float_bond_option_american")
FloatBOptionAmerican = 
  FloatBondOption with properties:

       OptionType: "call"
    ExerciseStyle: "american"
     ExerciseDate: 15-Sep-2029
           Strike: 98
             Bond: [1x1 fininstrument.FloatBond]
             Name: "float_bond_option_american"


FloatBOptionBermudan = fininstrument("FloatBondOption",'ExerciseDate',[datetime(2025,9,15) , datetime(2029,09,15)],'Strike',[98,100],'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"bermudan",'Name',"float_bond_option_bermudan")
FloatBOptionBermudan = 
  FloatBondOption with properties:

       OptionType: "call"
    ExerciseStyle: "bermudan"
     ExerciseDate: [15-Sep-2025    15-Sep-2029]
           Strike: [98 100]
             Bond: [1x1 fininstrument.FloatBond]
             Name: "float_bond_option_bermudan"


Create ratecurve Object
Create a ratecurve object using ratecurve.
Settle = datetime(2024,9,15);
Type = 'zero';
ZeroTimes = [calyears([1:10])]';
ZeroRates = [0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307 0.0310]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Sep-2024
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"


Create a HullWhite Model Object
Use finmodel to create a HullWhite model object.
HullWhiteModel = finmodel("HullWhite",'Alpha',0.01,'Sigma',0.05)
HullWhiteModel = 
  HullWhite with properties:

    Alpha: 0.0100
    Sigma: 0.0500


Create IRTree Pricer Object
Use finpricer to create an IRTree pricer object and use the ratecurve object with the 'DiscountCurve' name-value pair argument.
CFdates = cfdates(Settle, BondInst.Maturity, BondInst.Reset, BondInst.Basis);
HWTreePricer = finpricer("IRTree",'Model',HullWhiteModel,'DiscountCurve',myRC,'TreeDates',CFdates')
HWTreePricer = 
  HWBKTree with properties:

             Tree: [1x1 struct]
        TreeDates: [12x1 datetime]
            Model: [1x1 finmodel.HullWhite]
    DiscountCurve: [1x1 ratecurve]


HWTreePricer.Tree
ans = struct with fields:
        tObs: [0 0.4959 1 1.4959 2 2.4959 3 3.4986 4.0027 4.4986 5.0027 5.4986]
        dObs: [15-Sep-2024    15-Mar-2025    15-Sep-2025    15-Mar-2026    15-Sep-2026    15-Mar-2027    15-Sep-2027    15-Mar-2028    15-Sep-2028    15-Mar-2029    15-Sep-2029    15-Mar-2030]
      CFlowT: {[12x1 double]  [11x1 double]  [10x1 double]  [9x1 double]  [8x1 double]  [7x1 double]  [6x1 double]  [5x1 double]  [4x1 double]  [3x1 double]  [2x1 double]  [6.0027]}
       Probs: {[3x1 double]  [3x3 double]  [3x5 double]  [3x7 double]  [3x9 double]  [3x11 double]  [3x13 double]  [3x15 double]  [3x17 double]  [3x19 double]  [3x21 double]}
     Connect: {1x11 cell}
     FwdTree: {1x12 cell}
    RateTree: {1x12 cell}


Price FixedBondOption Instruments
Use price to compute the price and sensitivities for the two FixedBondOption instruments.
[Price, outPR] = price(HWTreePricer,FloatBOptionEuro,["all"])
Price = 
3.8040

outPR = 
  priceresult with properties:

       Results: [1x4 table]
    PricerData: [1x1 struct]


outPR.Results
ans=1×4 table
    Price     Delta     Gamma        Vega    
    _____    _______    ______    ___________

    3.804    -20.465    110.75    -2.6645e-11


[Price, outPR] = price(HWTreePricer,FloatBOptionAmerican,["all"])
Price = 
14.1700

outPR = 
  priceresult with properties:

       Results: [1x4 table]
    PricerData: [1x1 struct]


outPR.Results
ans=1×4 table
    Price     Delta     Gamma     Vega
    _____    _______    ______    ____

    14.17    -38.981    160.87     0  


[Price, outPR] = price(HWTreePricer,FloatBOptionBermudan,["all"])
Price = 
12.0676

outPR = 
  priceresult with properties:

       Results: [1x4 table]
    PricerData: [1x1 struct]


outPR.Results
ans=1×4 table
    Price      Delta     Gamma        Vega    
    ______    _______    ______    ___________

    12.068    -39.402    161.55    -2.8422e-10


Open Live Script
This example shows the workflow to price multiple FloatBondOption instruments when you use a HullWhite model and an IRTree pricing method. 
Create FloatBond Instrument Object
Use fininstrument to create a FloatBond instrument object as the underlying bond.
BondInst = fininstrument("FloatBond",'Maturity',datetime(2030,9,15),'Spread',0.021,'Name',"bond_instrument")
BondInst = 
  FloatBond with properties:

                      Spread: 0.0210
             ProjectionCurve: [0x0 ratecurve]
                 ResetOffset: 0
                       Reset: 2
                       Basis: 0
                EndMonthRule: 1
                   Principal: 100
    DaycountAdjustedCashFlow: 0
       BusinessDayConvention: "actual"
          LatestFloatingRate: NaN
                    Holidays: NaT
                   IssueDate: NaT
             FirstCouponDate: NaT
              LastCouponDate: NaT
                   StartDate: NaT
                    Maturity: 15-Sep-2030
                        Name: "bond_instrument"


Create FloatBondOption Instrument Objects
Use fininstrument to create a FloatBondOption instrument object with European exercise for three Float Bond Option instruments.
FloatBOptionEuro = fininstrument("FloatBondOption",'ExerciseDate',datetime([2030,9,15 ; 2029,09,15 ; 2028,09,15]),'Strike',[98 ; 99 ; 100],'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"european",'Name',"float_bond_option_european")
FloatBOptionEuro=3×1 FloatBondOption array with properties:
    OptionType
    ExerciseStyle
    ExerciseDate
    Strike
    Bond
    Name


Create ratecurve Object
Create a ratecurve object using ratecurve.
Settle = datetime(2024,9,15);
Type = 'zero';
ZeroTimes = [calyears([1:10])]';
ZeroRates = [0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307 0.0310]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 15-Sep-2024
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"


Create a HullWhite Model Object
Use finmodel to create a HullWhite model object.
HullWhiteModel = finmodel("HullWhite",'Alpha',0.01,'Sigma',0.05)
HullWhiteModel = 
  HullWhite with properties:

    Alpha: 0.0100
    Sigma: 0.0500


Create IRTree Pricer Object
Use finpricer to create an IRTree pricer object and use the ratecurve object with the 'DiscountCurve' name-value pair argument.
CFdates = cfdates(Settle, BondInst.Maturity, BondInst.Reset, BondInst.Basis);
HWTreePricer = finpricer("IRTree",'Model',HullWhiteModel,'DiscountCurve',myRC,'TreeDates',CFdates')
HWTreePricer = 
  HWBKTree with properties:

             Tree: [1x1 struct]
        TreeDates: [12x1 datetime]
            Model: [1x1 finmodel.HullWhite]
    DiscountCurve: [1x1 ratecurve]


HWTreePricer.Tree
ans = struct with fields:
        tObs: [0 0.4959 1 1.4959 2 2.4959 3 3.4986 4.0027 4.4986 5.0027 5.4986]
        dObs: [15-Sep-2024    15-Mar-2025    15-Sep-2025    15-Mar-2026    15-Sep-2026    15-Mar-2027    15-Sep-2027    15-Mar-2028    15-Sep-2028    15-Mar-2029    15-Sep-2029    15-Mar-2030]
      CFlowT: {[12x1 double]  [11x1 double]  [10x1 double]  [9x1 double]  [8x1 double]  [7x1 double]  [6x1 double]  [5x1 double]  [4x1 double]  [3x1 double]  [2x1 double]  [6.0027]}
       Probs: {[3x1 double]  [3x3 double]  [3x5 double]  [3x7 double]  [3x9 double]  [3x11 double]  [3x13 double]  [3x15 double]  [3x17 double]  [3x19 double]  [3x21 double]}
     Connect: {1x11 cell}
     FwdTree: {1x12 cell}
    RateTree: {1x12 cell}


Price FixedBondOption Instruments
Use price to compute the prices and sensitivities for the FixedBondOption instruments.
[Price, outPR] = price(HWTreePricer,FloatBOptionEuro,["all"])
Price = 3×1

    1.8081
    2.8617
    3.9097


outPR=3×1 priceresult array with properties:
    Results
    PricerData


outPR.Results
ans=1×4 table
    Price      Delta     Gamma        Vega   
    ______    _______    ______    __________

    1.8081    -10.854    65.153    4.4409e-12


ans=1×4 table
    Price      Delta     Gamma        Vega    
    ______    _______    ______    ___________

    2.8617    -15.751    87.167    -1.7764e-11


ans=1×4 table
    Price      Delta     Gamma        Vega    
    ______    _______    ______    ___________

    3.9097    -20.493    108.64    -7.1054e-11


Open Live Script
This example shows the workflow to price a FloatdBondOption instrument when using a HullWhite model and an IRMonteCarlo pricing method. 
Create FloatBond Instrument Object
Use fininstrument to create a FloatBond instrument object as the underlying bond. 
BondInst = fininstrument("FloatBond",'Maturity',datetime(2030,9,15),'Spread',0.021,'Name',"bond_instrument")
BondInst = 
  FloatBond with properties:

                      Spread: 0.0210
             ProjectionCurve: [0x0 ratecurve]
                 ResetOffset: 0
                       Reset: 2
                       Basis: 0
                EndMonthRule: 1
                   Principal: 100
    DaycountAdjustedCashFlow: 0
       BusinessDayConvention: "actual"
          LatestFloatingRate: NaN
                    Holidays: NaT
                   IssueDate: NaT
             FirstCouponDate: NaT
              LastCouponDate: NaT
                   StartDate: NaT
                    Maturity: 15-Sep-2030
                        Name: "bond_instrument"


Create FloatBondOption Instrument Object
Use fininstrument to create a FloatBondOption instrument object. 
FloatBOptionEuro = fininstrument("FloatBondOption",'ExerciseDate',datetime(2020,3,15),'Strike',98,'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"european",'Name',"float_bond_option_european")
FloatBOptionEuro = 
  FloatBondOption with properties:

       OptionType: "call"
    ExerciseStyle: "european"
     ExerciseDate: 15-Mar-2020
           Strike: 98
             Bond: [1x1 fininstrument.FloatBond]
             Name: "float_bond_option_european"


Create HullWhite Model Object
Use finmodel to create a HullWhite model object. 
HullWhiteModel = finmodel("HullWhite",'Alpha',0.32,'Sigma',0.49)
HullWhiteModel = 
  HullWhite with properties:

    Alpha: 0.3200
    Sigma: 0.4900


Create ratecurve Object
Create a ratecurve object using ratecurve. 
Settle = datetime(2019,1,1);
Type = 'zero';
ZeroTimes = [calmonths(6) calyears([1 2 3 4 5 7 10 20 30])]';
ZeroRates = [0.0052 0.0055 0.0061 0.0073 0.0094 0.0119 0.0168 0.0222 0.0293 0.0307]';
ZeroDates = Settle + ZeroTimes;
 
myRC = ratecurve('zero',Settle,ZeroDates,ZeroRates)
myRC = 
  ratecurve with properties:

                 Type: "zero"
          Compounding: -1
                Basis: 0
                Dates: [10x1 datetime]
                Rates: [10x1 double]
               Settle: 01-Jan-2019
         InterpMethod: "linear"
    ShortExtrapMethod: "next"
     LongExtrapMethod: "previous"


Create IRMonteCarlo Pricer Object
Use finpricer to create an IRMonteCarlo pricer object and use the ratecurve object for the 'DiscountCurve' name-value pair argument.
outPricer = finpricer("IRMonteCarlo",'Model',HullWhiteModel,'DiscountCurve',myRC,'SimulationDates',datetime(2019,3,15)+calmonths(0:6:48)')
outPricer = 
  HWMonteCarlo with properties:

          NumTrials: 1000
      RandomNumbers: []
      DiscountCurve: [1x1 ratecurve]
    SimulationDates: [15-Mar-2019    15-Sep-2019    15-Mar-2020    15-Sep-2020    15-Mar-2021    15-Sep-2021    15-Mar-2022    15-Sep-2022    15-Mar-2023]
              Model: [1x1 finmodel.HullWhite]


Price FloatBondOption Instrument
Use price to compute the price and sensitivities for the FloatBondOption instrument.
[Price,outPR] = price(outPricer,FloatBOptionEuro,["all"])
Price = 
18.2369

outPR = 
  priceresult with properties:

       Results: [1x4 table]
    PricerData: [1x1 struct]


outPR.Results
ans=1×4 table
    Price      Delta     Gamma     Vega  
    ______    _______    _____    _______

    18.237    -104.22    788.7    -13.949


Open Live Script
This example shows the workflow to price a FloatBondOption instrument when you use a CoxIngersollRoss model and an IRTree pricing method. 
Create FloatBond Instrument Object
Use fininstrument to first create a FloatBond instrument object. 
Maturity = datetime(2027,1,1); 
Spread = 0.0020;
Reset = 1;
FloatBond = fininstrument("FloatBond",Maturity=Maturity,Spread=Spread,Reset=Reset,Name="FloatBond_inst")
FloatBond = 
  FloatBond with properties:

                      Spread: 0.0020
             ProjectionCurve: [0x0 ratecurve]
                 ResetOffset: 0
                       Reset: 1
                       Basis: 0
                EndMonthRule: 1
                   Principal: 100
    DaycountAdjustedCashFlow: 0
       BusinessDayConvention: "actual"
          LatestFloatingRate: NaN
                    Holidays: NaT
                   IssueDate: NaT
             FirstCouponDate: NaT
              LastCouponDate: NaT
                   StartDate: NaT
                    Maturity: 01-Jan-2027
                        Name: "FloatBond_inst"


Create FloatBondOption Instrument Object
Then use fininstrument to create a FloatBondOption instrument object. 
Strike = 95;
OptionType = 'call';
ExerciseDate = datetime(2025,1,1);
FloatBOption = fininstrument("FloatBondOption",ExerciseDate=ExerciseDate,Strike=Strike,Bond=FloatBond,OptionType=OptionType,Name="FloatBondOption_inst")
FloatBOption = 
  FloatBondOption with properties:

       OptionType: "call"
    ExerciseStyle: "european"
     ExerciseDate: 01-Jan-2025
           Strike: 95
             Bond: [1x1 fininstrument.FloatBond]
             Name: "FloatBondOption_inst"


Create CoxIngersollRoss Model Object
Use finmodel to create a CoxIngersollRoss model object.
alpha = 0.03; 
theta = 0.02; 
sigma = 0.1; 
CIRModel = finmodel("CoxIngersollRoss",Sigma=sigma,Alpha=alpha,Theta=theta)
CIRModel = 
  CoxIngersollRoss with properties:

    Sigma: 0.1000
    Alpha: 0.0300
    Theta: 0.0200


Create ratecurve Object
Create a ratecurve object using ratecurve. 
Times= [calyears([1 2 3 4 ])]';
Settle = datetime(2023,1,1);
ZRates = [0.035; 0.042147; 0.047345; 0.052707]';
ZDates = Settle + Times;
Compounding = -1; 
Basis = 1;
ZeroCurve = ratecurve("zero",Settle,ZDates,ZRates,Compounding = Compounding, Basis = Basis);
Create IRTree Pricer Object
Use finpricer to create an IRTree pricer object for the CoxIngersollRoss model and use the ratecurve object for the 'DiscountCurve' name-value argument.
CIRPricer = finpricer("irtree",Model=CIRModel,DiscountCurve=ZeroCurve,Maturity=ZDates(end),NumPeriods=length(ZDates))
CIRPricer = 
  CIRTree with properties:

             Tree: [1x1 struct]
        TreeDates: [4x1 datetime]
            Model: [1x1 finmodel.CoxIngersollRoss]
    DiscountCurve: [1x1 ratecurve]


Price FloatBonOption Instrument
Use price to compute the price for the FloatBondOption instrument.
[Price,outPR] = price(CIRPricer,FloatBOption,"all")
Price = 
4.9313

outPR = 
  priceresult with properties:

       Results: [1x4 table]
    PricerData: [1x1 struct]


outPR.Results
ans=1×4 table
    Price     Delta     Gamma        Vega   
    ______    ______    ______    __________

    4.9313    -10.36    22.537    1.7764e-10


More About
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Tips
After creating a FloatBondOption instrument object, you can use
                setExercisePolicy to
            change the size of the options. For example, consider the following
            instrument:
FloatBOption = fininstrument("FloatBondOption",'ExerciseDate',datetime(2029,9,15),'Strike',98,'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"European")
To
            modify the size of the FloatBondOption instrument object by changing
            the ExerciseStyle from "European" to
                "American", use setExercisePolicy:
FloatBOption = setExercisePolicy(FloatBOption,[datetime(2021,1,1) datetime(2022,1,1)],100,'American')
Version History
Introduced in R2020a
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See Also
Functions
Topics