instoptemfloat

Create embedded option instrument on floating-rate note or add instrument to current portfolio

Syntax

  • InstSet = instopemtfloat(Spread,Settle,Maturity,OptSpec,
    Strike,ExerciseDates)
    example
  • InstSet = instopemtfloat(___,Name,Value) example
  • InstSet = instopemtfloat(InstSetOld,Spread,Settle,Maturity,OptSpec,
    Strike,ExerciseDates)
  • [FieldList,ClassList,TypeString] = instoptemfloat

Description

example

InstSet = instopemtfloat(Spread,Settle,Maturity,OptSpec,
Strike,ExerciseDates)
creates an embedded option instrument for a floating-rate note.

example

InstSet = instopemtfloat(___,Name,Value) creates an embedded option instrument for a floating-rate note using optional name-value pair arguments.

InstSet = instopemtfloat(InstSetOld,Spread,Settle,Maturity,OptSpec,
Strike,ExerciseDates)
to add 'OptEmFloat' instruments to an instrument variable.

[FieldList,ClassList,TypeString] = instoptemfloat lists field metadata for the 'OptEmFloat' instrument.

Examples

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Create an Instrument Portfolio with a Embedded Option Floating-Rate Note

Define the embedded call option:

Settle = 'Nov-1-2012';
Maturity   = 'Nov-1-2015';
Spread = 25;
OptSpec = 'call';
Strike= 100;
ExerciseDates = 'Nov-1-2015';
Reset = 1;

Create InstSet:

InstSet = instoptemfloat(Spread, Settle, Maturity, OptSpec,...
Strike,  ExerciseDates,'Reset', Reset)
InstSet = 

        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'OptEmFloat'}
     FieldName: {{13x1 cell}}
    FieldClass: {{13x1 cell}}
     FieldData: {{13x1 cell}}

Display the instrument:

instdisp(InstSet)
Index Type       Spread Settle         Maturity       OptSpec Strike ExerciseDates  FloatReset Basis Principal EndMonthRule CapRate FloorRate AmericanOpt
1     OptEmFloat 25     01-Nov-2012    01-Nov-2015    call    100    01-Nov-2015    1          0     100       1            Inf     -Inf      0          
 

Input Arguments

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Spread — Number of basis points over the reference ratenonnegative integer | vector of nonnegative integers

Number of basis points over the reference rate specified as a vector nonnegative integers for the number of instruments (NINST)-by-1).

Data Types: single | double

Settle — Settlement dates of floating-rate noteValuationDate of HW Tree (default) | nonnegative integer | vector of nonnegative integers

Settlement dates of floating-rate note specified as nonnegative integers using a NINST-by-1 vector of dates.

Data Types: char

Maturity — Floating-rate note maturity datenonnegative integer | vector of nonnegative integers

Floating-rate note maturity date specified as nonnegative integers using a NINST-by-1 vector of dates.

Data Types: char

OptSpec — Definition of option string | cell array of strings

Definition of option as 'call' or 'put' specified as a NINST-by-1 cell array of strings for 'call' or 'put'.

Data Types: char | cell

Strike — Embedded option strike price valuesnonnegative integer | vector of nonnegative integers

Embedded option strike price values for option specified as nonnegative integers using as NINST-by-NSTRIKES or NINST-by-1 vector of strike price values, depending on the type of option.

  • For a European or Bermuda Option — NINST-by-NSTRIKES matrix of strike price values where 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 NaNs.

  • For an American Option — NINST-by-1 vector of strike price values for each option.

Data Types: single | double

ExerciseDates — Exercise date for embedded optionnonnegative integer | vector of nonnegative integers

Exercise date for embedded option specified as nonnegative integers using a NINST-by-NSTRIKES or NINST-by-2 vector of the option exercise dates, depending on the type of option.

  • For a European or Bermuda Option — NINST-by-NSTRIKES of exercise dates where each row is the schedule for one option. For a European option, there is only one ExerciseDate on the option expiry date.

  • For an American Option — 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 date and the single listed ExerciseDate.

Data Types: char | cell

InstSetOld — Variable containing a collection of instrumentsrow vector | string

Variable containing a collection of instruments. Instruments are classified by type; each type can have different data fields. The stored data field is a row vector or string for each instrument. For more information on instrument data parameters, see the reference entries for individual instrument types. For example, see instfloat for additional information on the float instrument.

Data Types: double | char

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside single quotes (' '). You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: InstSet = instoptemfloat(Spread,Settle,Maturity,OptSpec,Strike,ExerciseDates,'Reset',Reset)

'AmericanOpt' — Embedded option type0 if AmericanOpt is NaN or not entered (default) | scalar | vector of positive integers[0,1]

Embedded option type specified as NINST-by-1 positive integer scalar flags with values.

  • For a European or Bermuda option — AmericanOpt is 0 for each European or Bermuda option. The default is 0 if AmericanOpt is NaN or not entered.

  • For an American option — AmericanOpt is 1 for each American option. The AmericanOpt argument is required to invoke American exercise rules.

Data Types: single | double

'Reset' — Frequency of payments per year1 (default) | positive integer from the set[1,2,3,4,6, 12] | vector of positive integers from the set [1,2,3,4,6,12]

Frequency of payments per year specified as positive integers for the values 1,2,4,6,12] in a NINST-by-1 vector.

Data Types: single | double

'Basis' — Day-count basis of the instrument0 (actual/actual) (default) | positive integers of the set [1...13] | vector of positive integers of the set [1...13]

Day-count basis of the instrument specified as a positive integer using a NINST-by-1 vector. The Basis value represents the basis used when annualizing the input forward-rate tree.

  • 0 = actual/actual

  • 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)

  • 13 = BUS/252

Data Types: single | double

'Principal' — Principal values100 (default) | nonnegative integer | vector of nonnegative integers | cell array of nonnegative integers

Principal values specified as a nonnegative integer using a NINST-by-1 vector of notional principal amounts.

Data Types: single | double

'Options' — Structure containing derivatives pricing optionsstructure

Structure containing derivatives pricing options specified using derivset.

Data Types: struct

'EndMonthRule' — End-of-month rule flag1 (in effect) (default) | nonnegative integer [0,1]

End-of-month rule flag is specified as a nonnegative integer [0, 1] using a NINST-by-1 vector. This rule applies only when Maturity is an end-of-month date for a month having 30 or fewer days.

  • 0 = Ignore rule, meaning that a bond coupon payment date is always the same numerical day of the month.

  • 1 = Set rule on, meaning that a bond coupon payment date is always the last actual day of the month.

Data Types: single | double

Output Arguments

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InstSet — Variable containing a collection of instrumentsscalar | vector

Variable containing a collection of instruments returned as a scalar or vector with the instruments broken down by type and each type can have different data fields. Each stored data field has a row vector or string for each instrument. For more information on the InstSet variable, see instget.

FieldList — Name of each data field string | cell array of strings

NFIELDS-by-1 cell array of strings listing the name of each data field for this instrument type.

ClassList — Determines how arguments are parsedstring with value: 'dble', 'date', or 'char' | cell array of strings with values: 'dble', 'date', or 'char'

NFIELDS-by-1 cell array of strings listing the data class of each field.

TypeString — Type of instrument addedstring with value 'OptEmFloat'

String specifying the type of instrument added where TypeString = 'OptEmFloat'.

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