instlookback

Construct lookback option

Syntax

InstSet = instlookback(OptSpec,Strike,Settle,ExerciseDates)

InstSet = instlookback(InstSet,OptSpec,Strike,Settle,ExerciseDates)

InstSet = instlookback(___,AmericanOpt)

[FieldList,ClassList,TypeString] = instlookback

Description

InstSet = instlookback(OptSpec,Strike,Settle,ExerciseDates) creates a new instrument set containing Lookback instruments.

InstSet = instlookback(InstSet,OptSpec,Strike,Settle,ExerciseDates) adds Lookback instruments to an existing instrument set.

InstSet = instlookback(___,AmericanOpt) adds an optional argument.

[FieldList,ClassList,TypeString] = instlookback lists field meta-data for the Lookback instrument.

Examples

Create a Lookback Option Instrument

Define a floating strike lookback instrument with the following data:

OptSpec = 'call';
Strike = NaN;
Settle = '01-Jan-2012';
ExerciseDates = '01-Jan-2015';

Create the instrument set.

InstSet = instlookback(OptSpec, Strike, Settle, ExerciseDates);

Display the lookback instrument.

instdisp(InstSet)

Index Type     OptSpec Strike Settle         ExerciseDates  AmericanOpt
1     Lookback call    NaN    01-Jan-2012    01-Jan-2015    0          
 

Input Arguments

InstSet — Instrument variable

structure

Instrument variable, specified only when adding Lookback instruments to an existing instrument set. For more information on the InstSet variable, see instget.

Data Types: struct

OptSpec — Definition of option

character vector with value 'call' or 'put' | cell array of character vectors with values 'call' or 'put'

Definition of option, specified as a scalar 'call' or 'put' using a character vector or an NINST-by-1 cell array of character vectors for 'call' or 'put'.

Data Types: char | cell

Strike — Option strike price value

matrix of nonnegative integers

Option strike price value, specified as a scalar nonnegative integer or an NINST-by-1 matrix of strike price values. Each row is the schedule for one option.

Data Types: double

Settle — Settlement date or trade date

serial date number | date character vector

Settlement date or trade date for the lookback option, specified as a scalar or an NINST-by-1 matrix of settlement or trade dates using serial date numbers or date character vectors.

Data Types: double | char

ExerciseDates — Option exercise dates

serial date number | date character vector

Option exercise dates, specified as a scalar, matrix, or vector using serial date numbers or date character vectors:

• For a European option, use an NINST-by-1 matrix of exercise dates. Each row is the schedule for one option. For a European option, there is only one ExerciseDates on the option expiry date.

• For an American option, use a NINST-by-2 vector of exercise date boundaries. 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 a NINST-by-1 vector of serial date numbers or cell array of character vectors, the option can be exercised between ValuationDate of the stock tree and the single listed ExerciseDates.

Data Types: double | char

AmericanOpt — Option type

0 European (default) | integer with values 0 or 1

(Optional) Option type, specified as a scalar or an NINST-by-1 integer flags with values:

• 0 — European

• 1 — American

Data Types: single | double

Output Arguments

InstSet — Variable containing a collection of instruments

structure

Variable containing a collection of instruments, returned as a structure. Instruments are 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 for Lookback instrument

cell array of character vectors

Name of each data field for a Lookback instrument, returned as an NFIELDS-by-1 cell array of character vectors.

ClassList — Data class for each field

cell array of character vectors

Data class for each field, returned as an NFIELDS-by-1 cell array of character vectors. The class determines how arguments are parsed. Valid character vectors are 'dble', 'date', and 'char'.

TypeString — Type of instrument

character vector

Type of instrument, returned as a character vector. For a Lookback instrument, TypeString = 'Lookback'.

More About

Lookback Option

A lookback option is a path-dependent option based on the maximum or minimum value the underlying asset achieves during the entire life of the option.

Financial Instruments Toolbox™ software supports two types of lookback options: fixed and floating. Fixed lookback options have a specified strike price, while floating lookback options have a strike price determined by the asset path. For more information, see Lookback Option.