Financial Derivatives Toolbox™

stockoptspec - Specify European stock option structure

Syntax

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

Arguments

`OptPrice`	`NINST`-by-`1` vector of European option prices.
`Strike`	`NINST`-by-`1` vector of strike prices.
`Settle`	Scalar date marking the settlement date.
`Maturity`	`NINST`-by-`1` vector of maturity dates.
`OptSpec`	`NINST`-by-`1` cell array of strings `'call'` or `'put'`.
`InterpMethod`	(Optional) Method of interpolation to use for option prices. `InterpMethod` is `[{'price'} \| 'vol']`. The default is `'price'`. By specifying `'vol'`, implied volatilities will be used for interpolation purposes. The interpolated values will then be used to calculate the implicit interpolated prices.

Description

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

Examples

Consider the following data quoted from liquid options in the market with varying strikes and maturity. You specify these parameters in MATLAB^® as follows:

Settle =   '01/01/06';

Maturity =    ['07/01/06';
    '07/01/06';
    '07/01/06';
    '07/01/06';
    '01/01/07';
    '01/01/07';
    '01/01/07';
    '01/01/07';
    '07/01/07';
    '07/01/07';
    '07/01/07';
    '07/01/07';
    '01/01/08';
    '01/01/08';
    '01/01/08';
    '01/01/08'];

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 = 

          FinObj: 'StockOptSpec'
        OptPrice: [16x1 double]
          Strike: [16x1 double]
          Settle: 732678
        Maturity: [16x1 double]
         OptSpec: {16x1 cell}
    InterpMethod: 'price'

stockoptspec - Specify European stock option structure

Syntax

Arguments

Description

Examples

See Also