instlookback

Construct lookback option

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Syntax

InstSet = instlookback(OptSpec,Strike,Settle,ExerciseDates)
InstSet = instlookback(InstSet,OptSpec,Strike,Settle,ExerciseDates)
InstSet = instlookback(___,AmericanOpt)
[FieldList,ClassList,TypeString] = instlookback

Description

InstSet = instlookback(OptSpec,Strike,Settle,ExerciseDates) creates a new instrument set containing Lookback instruments.

example

InstSet = instlookback(InstSet,OptSpec,Strike,Settle,ExerciseDates) adds Lookback instruments to an existing instrument set.

example

InstSet = instlookback(___,AmericanOpt) adds an optional argument.

example

[FieldList,ClassList,TypeString] = instlookback lists field meta-data for the Lookback instrument.

example

Examples

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Open Live Script

Define a floating strike lookback instrument with the following data: 

OptSpec = 'call';
Strike = NaN;
Settle = datetime(2012,1,1);
ExerciseDates = datetime(2015,1,1);

Create the instrument set. 

InstSet = instlookback(OptSpec, Strike, Settle, ExerciseDates);

Display the lookback instrument. 

instdisp(InstSet)
Index Type     OptSpec Strike Settle         ExerciseDates  AmericanOpt
1     Lookback call    NaN    01-Jan-2012    01-Jan-2015    0

Input Arguments

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Instrument variable, specified only when adding Lookback instruments to an existing instrument set. For more information on the InstSet variable, see instget.

Data Types: struct

Definition of option, specified as a scalar 'call' or 'put' using a character vector or an NINST-by-1 cell array of character vectors for 'call' or 'put'.

Data Types: char | cell

Option strike price value, specified as a scalar nonnegative integer or an NINST-by-1 matrix of strike price values. Each row is the schedule for one option.

Data Types: double

Settlement date or trade date for the lookback option, specified as a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

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

Option exercise dates, specified as a scalar or a NINST-by-1 vector using a datetime array, string array, or date character vectors:

  • For a European option, use an NINST-by-1 vector of exercise dates. Each row is the schedule for one option. For a European option, there is only one ExerciseDates on the option expiry date.

  • For an American option, use a NINST-by-2 vector of exercise date boundaries. The option can be exercised on any tree date between or including the pair of dates on that row. If only one non-NaN date is listed, or if ExerciseDates is a NINST-by-1 vector of dates, the option can be exercised between ValuationDate of the stock tree and the single listed ExerciseDates.

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

(Optional) Option type, specified as a scalar or an NINST-by-1 integer flags with values:

  • 0 — European

  • 1 — American

Data Types: double

Output Arguments

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Variable containing a collection of instruments, returned as a structure. Instruments are broken down by type and each type can have different data fields. Each stored data field has a row vector or string for each instrument. For more information on the InstSet variable, see instget.

Name of each data field for a Lookback instrument, returned as an NFIELDS-by-1 cell array of character vectors.

Data class for 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'.

Type of instrument, returned as a character vector. For a Lookback instrument, TypeString = 'Lookback'.

More About

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Version History

Introduced before R2006a

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See Also

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