instoptbnd

Construct bond option

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Syntax

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

Description

InstSet = instoptbnd(BondIndex,OptSpec,Strike,ExerciseDates) creates a new instrument set containing Bond option instruments.

example

InstSet = instoptbnd(InstSet,BondIndex,OptSpec,Strike,ExerciseDates) adds Bond option instruments to an existing instrument set.

example

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

example

[FieldList,ClassList,TypeString] = instoptbnd lists field meta-data for the Bond option instrument.

example

Examples

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Open Live Script

Create a new instrument variable with the following information: 

BondIndex = 1;
OptSpec = 'call';
Strike= 85;
ExerciseDates = datetime(2014,11,1); 
AmericanOpt = 1;
CouponRate= [0.035;0.04];
Settle= datetime(2013,11,1); 
Maturity = datetime(2014,11,1); 
Period =1;

Create the instrument portfolio with two bonds. 

InstSet = instbond(CouponRate, Settle, Maturity, ...
Period)
InstSet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1×1 struct]
          Type: {'Bond'}
     FieldName: {{11×1 cell}}
    FieldClass: {{11×1 cell}}
     FieldData: {{11×1 cell}}

Create an option on the first bond 

InstSet = instoptbnd(InstSet, BondIndex, OptSpec, Strike, ExerciseDates, AmericanOpt)
InstSet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1×1 struct]
          Type: {2×1 cell}
     FieldName: {2×1 cell}
    FieldClass: {2×1 cell}
     FieldData: {2×1 cell}

Display the instrument set. 

instdisp(InstSet)
Index Type CouponRate Settle         Maturity       Period Basis EndMonthRule IssueDate FirstCouponDate LastCouponDate StartDate Face
1     Bond 0.035      01-Nov-2013    01-Nov-2014    1      0     1            NaN       NaN             NaN            NaN       100 
2     Bond 0.04       01-Nov-2013    01-Nov-2014    1      0     1            NaN       NaN             NaN            NaN       100 
 
Index Type    UnderInd OptSpec Strike ExerciseDates  AmericanOpt
3     OptBond 1        call    85     01-Nov-2014    1

Input Arguments

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

Data Types: struct

Number of Bond instruments, specified as a scalar or an NINST-by-1 vector of indices pointing to underlying instruments of Type 'Bond' which are stored in InstSet. See instbond for information on specifying the bond data.

Data Types: double

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 vector of strike price values for a European option, an NINST by number of strikes (NSTRIKES) matrix of strike price values for a Bermuda option, or an NINST-by-1 vector of strike price values for each American option. 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.

Note

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

Data Types: double

Option exercise dates, specified as a scalar or an NINST-by-2 vector using a datetime array, string array, or date character vectors 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.

To support existing code, instoptbnd 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: single | 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 Bond option 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 Bond option instrument, TypeString = 'OptBond'.

More About

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Version History

Introduced before R2006a

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See Also

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