FloatBondOption
instrument object
Create and price a FloatBondOption
instrument object using
this workflow:
Use fininstrument
to create an FloatBondOption
instrument object.
Use finmodel
to specify
a HullWhite
or
BlackKarasinski
model for the
FloatBondOption
instrument.
Use finpricer
to
specify an IRTree
pricing
method for the FloatBondOption
instrument.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available models and pricing methods
FloatBondOption
instrument, see Choose Instruments, Models, and Pricers.
creates a FloatBondOptionObj
= fininstrument(InstrumentType
,'Strike
',strike_value,'ExerciseDate
',exercise_date,'Bond
',bond_obj)FloatBond
object by specifying
InstrumentType
and sets properties
using the required name-value pair arguments Strike
,
ExerciseDate
, and Bond
.
sets optional properties
using additional name-value pair arguments in addition to the required
arguments in the previous syntax. For example, FloatBondOptionObj
= fininstrument(___,Name,Value
)FloatBondOptionObj =
fininstrument("floatbondoption",'Strike',100,'ExerciseDate',datetime(2019,1,30),'Bond',bond_obj,'OptionType','put','ExerciseStyle',"american",'Name',"float_bond_option")
creates a FloatBondOption
instrument with a strike of 100
and an American exercise. You can specify multiple name-value pair
arguments.
setExercisePolicy | Set exercise policy for FixedBondOption ,
FloatBondOption , or Vanilla instrument |
After creating a FloatBondOption
instrument object, you can use
setExercisePolicy
to
change the size of the options. For example, consider the following
instrument:
FloatBOption = fininstrument("FloatBondOption",'ExerciseDate',datetime(2029,9,15),'Strike',98,'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"European")
FloatBondOption
instrument by changing the
ExerciseStyle
from "European"
to
"American"
, use setExercisePolicy
:FloatBOption = setExercisePolicy(FloatBOption,[datetime(2021,1,1) datetime(2022,1,1)],100,'American')