instoptemfloat

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

Syntax

InstSet = instopemtfloat(Spread,Settle,Maturity,OptSpec,Strike,ExerciseDates)

InstSet = instopemtfloat(___,Name,Value)

InstSet = instopemtfloat(InstSetOld,Spread,Settle,Maturity,OptSpec,Strike,ExerciseDates)

[FieldList,ClassList,TypeString] = instoptemfloat

Description

InstSet = instopemtfloat(Spread,Settle,Maturity,OptSpec,Strike,ExerciseDates) creates an embedded option instrument for a floating-rate note.

InstSet = instopemtfloat(___,Name,Value) adds optional name-value pair arguments.

InstSet = instopemtfloat(InstSetOld,Spread,Settle,Maturity,OptSpec,Strike,ExerciseDates) to add 'OptEmFloat' instruments to an instrument variable.

[FieldList,ClassList,TypeString] = instoptemfloat lists field metadata for the 'OptEmFloat' instrument.

Examples

Create an Instrument Portfolio with a Embedded Option Floating-Rate Note

Define the embedded call option:

Settle = 'Nov-1-2012';
Maturity   = 'Nov-1-2015'; 
Spread = 25;
OptSpec = 'call'; 
Strike= 100;  
ExerciseDates = 'Nov-1-2015'; 
Reset = 1;

Create InstSet:

InstSet = instoptemfloat(Spread, Settle, Maturity, OptSpec,...
Strike,  ExerciseDates,'FloatReset', Reset)

InstSet = struct with fields:
        FinObj: 'Instruments'
    IndexTable: [1x1 struct]
          Type: {'OptEmFloat'}
     FieldName: {{13x1 cell}}
    FieldClass: {{13x1 cell}}
     FieldData: {{13x1 cell}}

Display the instrument:

instdisp(InstSet)

Index Type       Spread Settle         Maturity       OptSpec Strike ExerciseDates  FloatReset Basis Principal EndMonthRule CapRate FloorRate AmericanOpt
1     OptEmFloat 25     01-Nov-2012    01-Nov-2015    call    100    01-Nov-2015    1          0     100       1            Inf     -Inf      0          
 

Input Arguments

Spread — Number of basis points over the reference rate

nonnegative integer | vector of nonnegative integers

Number of basis points over the reference rate specified as a vector of nonnegative integers for the number of instruments (NINST)-by-1).

Data Types: double

Settle — Settlement dates of floating-rate note

ValuationDate of HW Tree (default) | datetime array | string array | date character vector | serial date number

Settlement dates of floating-rate note, specified as a NINST-by-1 vector using a datetime array, string array, date character vectors, or serial date numbers.

Data Types: double | char | string | datetime

Maturity — Floating-rate note maturity date

datetime array | string array | date character vector | serial date number

Floating-rate note maturity date, specified as a NINST-by-1 vector using a datetime array, string array, date character vectors, or serial date numbers.

Data Types: double | char | string | datetime

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 — Embedded option strike price values

nonnegative integer | vector of nonnegative integers

Embedded option strike price values for option specified as nonnegative integers using as NINST-by-NSTRIKES or NINST-by-1 vector of strike price values, depending on the type of option.

• For a European or Bermuda Option — NINST-by-NSTRIKES matrix of strike price values where 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 embedded option

datetime array | string array | date character vector | serial date number

Exercise date for embedded option, specified as a NINST-by-NSTRIKES or NINST-by-2 vector using a datetime array, string array, date character vectors, or serial date numbers, depending on the type of option.

• For a European or Bermuda Option — NINST-by-NSTRIKES of exercise dates where 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.

Data Types: double | char | string | datetime

InstSetOld — Variable containing an existing collection of instruments

struct

Variable containing an existing collection of instruments, specified as a struct. Instruments are classified by type; each type can have different data fields. The stored data field is a row vector or character vector for each instrument. For more information on instrument data parameters, see the reference entries for individual instrument types. For example, see instfloat for additional information on the float instrument.

Data Types: struct

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: InstSet = instoptemfloat(Spread,Settle,Maturity,OptSpec,Strike,ExerciseDates,'FloatReset',Reset)

AmericanOpt — Embedded option type

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

Embedded option type, specified as the comma-separated pair consisting of 'AmericanOpt' and a NINST-by-1 positive integer scalar flags with values:

• For a European or Bermuda option — AmericanOpt is 0 for each European or Bermuda option. The default is 0 if AmericanOpt is NaN or not entered.

• 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

FloatReset — Frequency of payments per year

1 (default) | positive integer from the set[1,2,3,4,6, 12] | vector of positive integers from the set [1,2,3,4,6,12]

Frequency of payments per year, specified as the comma-separated pair consisting of 'FloatReset' and positive integers for the values 1,2,4,6,12] in a NINST-by-1 vector.

Data Types: single | double

Basis — Day-count basis of the instrument

0 (actual/actual) (default) | positive integers of the set [1...13] | vector of positive integers of the set [1...13]

Day-count basis of the instrument, specified as the comma-separated pair consisting of 'Basis' and a positive integer using a NINST-by-1 vector. The Basis value represents the basis used when annualizing the input forward-rate tree.

• 0 = actual/actual

• 1 = 30/360 (SIA)

• 2 = actual/360

• 3 = actual/365

• 4 = 30/360 (PSA)

• 5 = 30/360 (ISDA)

• 6 = 30/360 (European)

• 7 = actual/365 (Japanese)

• 8 = actual/actual (ICMA)

• 9 = actual/360 (ICMA)

• 10 = actual/365 (ICMA)

• 11 = 30/360E (ICMA)

• 12 = actual/365 (ISDA)

• 13 = BUS/252

For more information, see Basis.

Data Types: single | double

Principal — Principal values

100 (default) | nonnegative integer | vector of nonnegative integers | cell array of nonnegative integers

Principal values, specified as the comma-separated pair consisting of 'Principal' and a nonnegative integer using a NINST-by-1 vector of notional principal amounts.

Data Types: single | double

Options — Structure containing derivatives pricing options

structure

Structure containing derivatives pricing options, specified as the comma-separated pair consisting of 'Options' and a structure using derivset.

Data Types: struct

EndMonthRule — End-of-month rule flag

1 (in effect) (default) | nonnegative integer [0,1]

End-of-month rule flag, specified as the comma-separated pair consisting of 'EndMonthRule' and a nonnegative integer [0, 1] using a NINST-by-1 vector. This rule applies only when Maturity is an end-of-month date for a month having 30 or fewer days.

• 0 = Ignore rule, meaning that a bond coupon payment date is always the same numerical day of the month.

• 1 = Set rule on, meaning that a bond coupon payment date is always the last actual day of the month.

Data Types: single | double

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 — Name of each data field

character vector | cell array of character vectors

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

ClassList — Determines how arguments are parsed

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

NFIELDS-by-1 cell array of character vectors listing the data class of each field.

TypeString — Type of instrument added

character vector with value 'OptEmFloat'

Character vector specifying the type of instrument added where TypeString = 'OptEmFloat'.

Version History

Introduced in R2013a