instoptfloat

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

Syntax

InstSet = instoptfloat(FloatIndex,OptSpec,Strike,ExerciseDates)

InstSet = instoptfloat(FloatIndex,OptSpec,Strike,ExerciseDates,AmericanOpt)

InstSet = instoptfloat(InstSetOld,___)

[FieldList,ClassList,TypeString] = instoptfloat

Description

InstSet = instoptfloat(FloatIndex,OptSpec,Strike,ExerciseDates) to specify a European option for a floating-rate note.

InstSet = instoptfloat(FloatIndex,OptSpec,Strike,ExerciseDates,AmericanOpt) to specify an American or Bermuda option for a floating-rate note.

InstSet = instoptfloat(InstSetOld,___) to add instruments to an existing portfolio.

[FieldList,ClassList,TypeString] = instoptfloat lists the field metadata for the 'OptFloat' instrument.

Examples

Create an Instrument Portfolio with a Call Option for a Floating-Rate Note

Define the floating-rate note:

Settle = datetime(2012,11,1);
Maturity   = datetime(2015,11,1); 
Spread = 50;
Reset = 1;

Create InstSet:

InstSet = instfloat(Spread, Settle, Maturity, Reset)

InstSet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1×1 struct]
          Type: {'Float'}
     FieldName: {{9×1 cell}}
    FieldClass: {{9×1 cell}}
     FieldData: {{9×1 cell}}

Display the instrument:

instdisp(InstSet)

Index Type  Spread Settle         Maturity       FloatReset Basis Principal EndMonthRule CapRate FloorRate
1     Float 50     01-Nov-2012    01-Nov-2015    1          0     100       1            Inf     -Inf     
 

Add a European call option to the instrument portfolio:

OptSpec = 'call'; 
Strike = 100;  
ExerciseDates = 'Nov-1-2015';

Create InstSet:

InstSet = instoptfloat(InstSet, 1, OptSpec, Strike, ExerciseDates)

InstSet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1×1 struct]
          Type: {2×1 cell}
     FieldName: {2×1 cell}
    FieldClass: {2×1 cell}
     FieldData: {2×1 cell}

Display the instrument:

instdisp(InstSet)

Index Type  Spread Settle         Maturity       FloatReset Basis Principal EndMonthRule CapRate FloorRate
1     Float 50     01-Nov-2012    01-Nov-2015    1          0     100       1            Inf     -Inf     
 
Index Type     UnderInd OptSpec Strike ExerciseDates  AmericanOpt
2     OptFloat 1        call    100    01-Nov-2015    0          
 

Input Arguments

FloatIndex — Indices pointing to underlying instruments

vector of nonnegative integers

Indices pointing to underlying instruments of Type 'Float' specified by a NINST-by-1 vector. The instruments of Type 'Float' are also stored in the InstSet variable. For more information, see instfloat.

Data Types: double

OptSpec — Definition of option

character vector | cell array of character vectors

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

Data Types: char | cell

Strike — Option strike price values for European, Bermuda, or American option

nonnegative integer | vector of nonnegative integers

Option strike price values for option (European, Bermuda, or American) specified as nonnegative integers using as NINST-by-NSTRIKES vector of strike price values.

• For a European or Bermuda option — NINST-by-NSTRIKES matrix of strike price values. 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: double

ExerciseDates — Exercise date for option (European, Bermuda, or American)

datetime array | string array | date character vector

Exercise date for option (European, Bermuda, or American), specified as a NINST-by-NSTRIKES or NINST-by-2 vector using a datetime array, string array, or date character vectors, depending on the option type.

• For a European or Bermuda option — NINST-by-NSTRIKES matrix of exercise dates. 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.

To support existing code, instoptfloat also accepts serial date numbers as inputs, but they are not recommended.

AmericanOpt — Option type

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

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.

• 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

InstSetOld — Variable containing an existing collection of instruments

struct

Variable containing an existing collection of instruments, specified as a struct. For more information on the InstSet variable, see instget.

Data Types: struct

Output Arguments

InstSet — Variable containing a collection of instruments

scalar | 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 character vector for each instrument. For more information on the InstSet variable, see instget.

FieldList — Data field for instrument type

character vector | cell array of character vectors

Data field for instrument type returned as a NFIELDS-by-1 cell array of character vectors listing the name of each data field for this instrument type.

ClassList — Data class of each field

character vector with value: 'dble', 'date', 'char' | cell array of character vectors with values: 'dble', 'date', 'char'

Data class of each field returned as aNFIELDS-by-1 cell array of character vectors listing the data class of each field. The class determines how arguments are parsed.

TypeString — Type of instrument added

character vector with value 'OptFloat'

Type of instrument added returned as a character vector. The character vector for a floating-rate option instrument is TypeString = 'OptFloat'.

More About

Floating-Rate Note Options

A floating-rate note option is a put or call option on a floating-rate note.

Financial Instruments Toolbox™ supports three types of put and call options on floating-rate notes:

• American option — An option that you exercise any time until its expiration date.

• European option — An option that you exercise only on its expiration date.

• Bermuda option — A Bermuda option resembles a hybrid of American and European options; you can only exercise it on predetermined dates, usually monthly.

For more information, see Floating-Rate Note Options.

Version History

Introduced in R2013a

R2022b: Serial date numbers not recommended

Although instoptfloat supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.