Documentation

instlookback

Construct lookback option

Syntax

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

Arguments

InstSet

Instrument variable. This argument is specified only when adding lookback instruments to an existing instrument set. See instget for more information on the InstSet variable.

OptSpec

NINST-by-1 list of string values 'Call' or 'Put'.

Strike

NINST-by-1 vector of strike price values. Each row is the schedule for one option.

Settle

NINST-by-1 vector of Settle dates.

ExerciseDates

For a European option (AmericanOpt = 0):

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

For an American option (AmericanOpt = 1):

NINST-by-2 vector of exercise date boundaries. For each instrument, 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 NINST-by-1, the option can be exercised between the valuation date of the stock tree and the single listed exercise date.

AmericanOpt

(Optional) If AmericanOpt = 0, NaN, or is unspecified, the option is a European option. If AmericanOpt = 1, the option is an American option.

Data arguments are number of instruments (NINST)-by-1 vectors, scalar, or empty. Fill unspecified entries in vectors with NaN. Only one data argument is required to create the instrument. The others may be omitted or passed as empty matrices [].

Description

InstSet = instlookback(InstSet, OptSpec, Strike, Settle,
ExerciseDates, AmericanOpt)
specifies a lookback option.

[FieldList, ClassList, TypeString] = instlookback displays the classes.

FieldList is a number of fields (NFIELDS)-by-1 cell array of strings listing the name of each data field for this instrument type.

ClassList is an NFIELDS-by-1 cell array of strings listing the data class of each field. The class determines how arguments are parsed. Valid strings are 'dble', 'date', and 'char'.

TypeString is a string specifying the type of instrument added. For a lookback option instrument, TypeString = 'Lookback'.

Examples

expand all

Create a Lookback Option Instrument

Define a floating strike lookback instrument with the following data:

OptSpec = 'call';
Strike = NaN;
Settle = '01-Jan-2012';
ExerciseDates = '01-Jan-2015';

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          
 
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