instoptembnd - Constructor for 'Type', 'OptEmBond' bond with embedded option

CouponRate

NINST-by-1 vector of decimal annual rate.

Settle

NINST-by-1 vector of settlement dates.

Maturity

NINST-by-1 vector of maturity dates.

OptSpec

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

For a European or Bermuda option

Strike

NINST-by-NSTRIKES matrix of strike price values. 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 NaN's.

ExerciseDates

NINST-by-NSTRIKES matrix of exercise dates. Each row is the schedule for one option. For a European option, there is only one ExerciseDate on the option expiry date.

AmericanOpt

(Optional) NINST-by-1 vector of flags. AmericanOpt is 0 for each European or Bermuda option. The default is 0 if AmericanOpt is NaN or not entered.

For an American option

Strike

NINST-by-1 vector of strike price values for each option.

ExerciseDates

NINST-by-2 vector 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 ExerciseDate.

AmericanOpt

NINST-by-1 vector of flags. AmericanOpt is 1 for each American option. The AmericanOpt argument is required to invoke American exercise rules.

Period

(Optional) NINST-by-1 matrix for coupons per year. The default value is 2.

Basis

(Optional) Day-count basis of the instrument. Basis is a vector of integers with the following possible values:

• 0 = actual/actual (default)

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 5 = 30/360 (ISDA)

• 6 = 30/360 (European)

• 7 = actual/365 (Japanese)

• 8 = actual/actual (ISMA)

• 9 = actual/360 (ISMA)

• 10 = actual/365 (ISMA)

• 11 = 30/360E (ISMA)

• 12 = actual/365 (ISDA)

EndMonthRule

(Optional) NINST-by-1 matrix for the end-of-month rule. This rule applies only when Maturity is an end-of-month date for a month having 30 or fewer days. When the value is 0, the end-of-month rule is ignored, meaning that a bond's coupon payment date is always the same numerical day of the month. When the value is 1, the end-of-month rule is set rule on (default), meaning that a bond's coupon payment date is always the last actual day of the month.

IssueDate

(Optional) NINST-by-1 matrix for the bond issue date.

FirstCouponDate

(Optional) NINST-by-1 matrix for an irregular first coupon date. Date when a bond makes its first coupon payment. When FirstCouponDate and LastCouponDate are both specified, FirstCouponDate takes precedence in determining the coupon payment structure.

LastCouponDate

(Optional) NINST-by-1 matrix for an irregular last coupon date. Last coupon date of a bond before the maturity date. In the absence of a specified FirstCouponDate, a specified LastCouponDate determines the coupon structure of the bond. The coupon structure of a bond is truncated at the LastCouponDate regardless of where it falls and will be followed only by the bond's maturity cash flow date.

StartDate

(Optional) NINST-by-1 matrix (reserved input argument, currently unused) for date when a bond actually starts (the date from which a bond's cash flows can be considered). To make an instrument forward starting, specify this date as a future date. If StartDate is not explicitly specified, the effective start date is the settlement date.

Face

(Optional) NINST-by-1 matrix for the face value. The default value is 100.