instasian - Construct Asian option

InstSet

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.

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.

AvgType

(Optional) String = 'arithmetic' for arithmetic average (default) or 'geometric' for geometric average.

AvgPrice

(Optional) Scalar representing the average price of the underlying asset at Settle. This argument is used when AvgDate < Settle. Default is the current stock price.

AvgDate

(Optional) Scalar representing the date on which the averaging period begins. Default = Settle.