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stockoptspec

Specify European stock option structure

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Syntax

StockOptSpec = stockoptspec(OptPrice,Strike,Settle,Maturity,OptSpec,InterpMethod)
StockOptSpec = stockoptspec(___,InterpMethod)

Description

StockOptSpec = stockoptspec(OptPrice,Strike,Settle,Maturity,OptSpec,InterpMethod) creates a structure encapsulating the properties of a stock option structure.

example

StockOptSpec = stockoptspec(___,InterpMethod) specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

example

Examples

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Open Live Script

This example shows how to specify a European stock option structure using the following data quoted from liquid options in the market with varying strikes and maturity.

Settle =   datetime(2006,1,1);

Maturity = [datetime(2006,7,1) ; datetime(2006,7,1) ; datetime(2006,7,1) ; datetime(2006,7,1) ; datetime(2007,1,1) ; datetime(2007,1,1) ; datetime(2007,1,1) ; datetime(2007,1,1) ; datetime(2007,7,1) ;
    datetime(2007,7,1) ; datetime(2007,7,1) ; datetime(2007,7,1) ; datetime(2008,1,1) ; datetime(2008,1,1) ; datetime(2008,1,1) ; datetime(2008,1,1)];

Strike = [113;
   101;
   100;
    88;
   128;
   112;
   100;
    78;
   144;
   112;
   100;
    69;
   162;
   112;
   100;
    61];

OptPrice =[                 0;
   4.807905472659144;
   1.306321897011867;
   0.048039195057173;
                   0;
   2.310953054191461;
   1.421950392866235;
   0.020414826276740;
                   0;
   5.091986935627730;
   1.346534812295291;
   0.005101325584140;
                   0;
   8.047628153217246;
   1.219653432150932;
   0.001041436654748];


OptSpec = { 'call';
    'call';
    'put';
    'put';
    'call';
    'call';
    'put';
    'put';
    'call';
    'call';
    'put';
    'put';
    'call';
    'call';
    'put';
    'put'};

StockOptSpec = stockoptspec(OptPrice, Strike, Settle, Maturity, OptSpec)
StockOptSpec = struct with fields:
          FinObj: 'StockOptSpec'
        OptPrice: [16x1 double]
          Strike: [16x1 double]
          Settle: 732678
        Maturity: [16x1 double]
         OptSpec: {16x1 cell}
    InterpMethod: 'price'

Input Arguments

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European option prices, specified as an NINST-by-1 vector.

Data Types: double

Strike prices, specified as an NINST-by-1 vector.

Data Types: double

Settlement date, specified as a scalar datetime, string, or date character vector.

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

Maturity dates, specified as an NINST-by-1 vector using a datetime array, string array, or date character vectors.

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

Option type, specified as an NINST-by-1 cell array of character vectors with a value of 'call' or 'put'.

Data Types: cell

(Optional) Interpolation method for option prices, specified as a scalar character vector with one of the following values:

  • 'price' indicates that prices are used for interpolation purposes.

  • 'vol' indicates that implied volatilities are used for interpolation purposes. The interpolated values are then used to calculate the implicit interpolated prices.

.

Data Types: char

Output Arguments

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Structure encapsulating the properties of a stock options structure, returned as a structure.

Version History

Introduced in R2007a

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See Also

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