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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 character vectors '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 are used for interpolation purposes. The interpolated values are then 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

collapse all

This example shows how to specify a European stock option structure using the following data quoted from liquid options in the market with varying strikes and maturity.

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 = 

  struct with fields:

          FinObj: 'StockOptSpec'
        OptPrice: [16×1 double]
          Strike: [16×1 double]
          Settle: 732678
        Maturity: [16×1 double]
         OptSpec: {16×1 cell}
    InterpMethod: 'price'

Related Examples

See Also

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Introduced in R2007a

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