The ideal technique to save data in an S-function in such a way that it is available in all the callback methods is to use Work Vectors. In C-MEX S-functions, PWork vectors can be used to cache data of any type. However, the only type of work vectors available in MATLAB S-functions are DWork vectors, which can only store numeric types. The only other way I can think of sharing data between the S-function methods is to use the block UserData property. You can construct your object in the setup() method and destroy it in Terminate(). You can set/get the object on the block UserData property as follows:
set_param(block.BlockHandle, 'UserData', myobj);
myobj = get_param(block.BlockHandle, 'UserData');
Caveat: This is mostly a hack that I dreamed up - please look out for unintended consequences.
