instlookback

Construct lookback option

Description

example

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

example

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

example

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

example

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

Examples

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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

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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

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

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

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

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

(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

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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.

Name of each data field for a Lookback instrument, returned as an NFIELDS-by-1 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'.

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

More About

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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.

Introduced before R2006a