setCallExercisePolicy
Set call exercise policy for OptionEmbeddedFixedBond
,
OptionEmbeddedFloatBond
, or ConvertibleBond
instrument
Since R2020b
Syntax
Description
sets the call exercise policy for a UpdatedInstrumentObject
= setCallExercisePolicy(InstrumentObject
,exerciseSchedule
,exerciseStyle
)OptionEmbeddedFixedBond
, OptionEmbeddedFloatBond
, or ConvertibleBond
instrument object.
Examples
Set Call Exercise Policy for Option Embedded Fixed Bond Instrument
This example shows how to use setCallExercisePolicy
to maintain consistency between the exercise schedule and exercise style when using a OptionEmbeddedFixedBond
instrument object.
Create OptionEmbeddedFixedBond
Instrument Object
Use fininstrument
to create an OptionEmbeddedFixedBond
instrument object with different exercise styles.
Maturity = datetime(2024,1,1); Strike = [100;100]; ExerciseDates = [datetime(2020,1,1); datetime(2024,1,1)]; Period = 1; CallSchedule = timetable(ExerciseDates,Strike,'VariableNames',{'Strike Schedule'}); CallableBond = fininstrument("OptionEmbeddedFixedBond",'Maturity',Maturity,... 'CouponRate',0.025,'Period',Period, ... 'CallSchedule',CallSchedule)
CallableBond = OptionEmbeddedFixedBond with properties: CouponRate: 0.0250 Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2024 CallDates: [2x1 datetime] PutDates: [0x1 datetime] CallSchedule: [2x1 timetable] PutSchedule: [0x0 timetable] CallExerciseStyle: "american" PutExerciseStyle: [0x0 string] Name: ""
Set the Exercise Style to Bermudan
Use setCallExercisePolicy
to define the CallExerciseStyle
as Bermudan
.
CallableBond = setCallExercisePolicy(CallableBond, CallSchedule, "Bermudan")
CallableBond = OptionEmbeddedFixedBond with properties: CouponRate: 0.0250 Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2024 CallDates: [2x1 datetime] PutDates: [0x1 datetime] CallSchedule: [2x1 timetable] PutSchedule: [0x0 timetable] CallExerciseStyle: "bermudan" PutExerciseStyle: [0x0 string] Name: ""
Use setCallExercisePolicy
to modify CallSchedule
and continue using a Bermudan exercise style.
Strike = [100; 101;102;103]; ExerciseDates = [datetime(2018,1,1);datetime(2020,1,1);datetime(2022,1,1);datetime(2024,1,1)]; CallSchedule = timetable(ExerciseDates,Strike,'VariableNames',{'Strike Schedule'}); CallableBond = setCallExercisePolicy(CallableBond, CallSchedule)
CallableBond = OptionEmbeddedFixedBond with properties: CouponRate: 0.0250 Period: 1 Basis: 0 EndMonthRule: 1 Principal: 100 DaycountAdjustedCashFlow: 0 BusinessDayConvention: "actual" Holidays: NaT IssueDate: NaT FirstCouponDate: NaT LastCouponDate: NaT StartDate: NaT Maturity: 01-Jan-2024 CallDates: [4x1 datetime] PutDates: [0x1 datetime] CallSchedule: [4x1 timetable] PutSchedule: [0x0 timetable] CallExerciseStyle: "bermudan" PutExerciseStyle: [0x0 string] Name: ""
Set Call Exercise Policy for Specific Option Embedded Fixed Bond Instrument
This example shows how to use setCallExercisePolicy
to maintain consistency between the exercise schedule and exercise style when using a OptionEmbeddedFixedBond
instrument object with three OptionEmbeddedFixedBond
instruments.
Create OptionEmbeddedFixedBond
Instrument Object
Use fininstrument
to create an OptionEmbeddedFixedBond
instrument object for three Option Embedded Fixed Bond instruments with American
exercise styles.
Maturity = datetime([2024,1,1 ; 2024,4,1 ; 2024,8,1]); Strike = [100;100]; ExerciseDates = [datetime(2020,1,1); datetime(2024,1,1)]; Period = 1; CallSchedule = timetable(ExerciseDates,Strike,'VariableNames',{'Strike Schedule'}); CallableBond = fininstrument("OptionEmbeddedFixedBond",'Maturity',Maturity,... 'CouponRate',0.025,'Period',Period, ... 'CallSchedule',CallSchedule)
CallableBond=3×1 OptionEmbeddedFixedBond array with properties:
CouponRate
Period
Basis
EndMonthRule
Principal
DaycountAdjustedCashFlow
BusinessDayConvention
Holidays
IssueDate
FirstCouponDate
LastCouponDate
StartDate
Maturity
CallDates
PutDates
CallSchedule
PutSchedule
CallExerciseStyle
PutExerciseStyle
Name
CallableBond.CallExerciseStyle
ans = "american"
ans = "american"
ans = "american"
The CallExerciseStyle
is "American"
because the fininstrument
syntax does not contain a CallExercideStyle
specification and there are two exercise dates defined in the CallSchedule
.
Set the Exercise Style to Bermudan
Use setCallExercisePolicy
to define the CallExerciseStyle
as Bermudan
for the second (CallableBond(2)
) instrument.
CallableBond(2) = setCallExercisePolicy(CallableBond(2), CallSchedule, "Bermudan")
CallableBond=3×1 OptionEmbeddedFixedBond array with properties:
CouponRate
Period
Basis
EndMonthRule
Principal
DaycountAdjustedCashFlow
BusinessDayConvention
Holidays
IssueDate
FirstCouponDate
LastCouponDate
StartDate
Maturity
CallDates
PutDates
CallSchedule
PutSchedule
CallExerciseStyle
PutExerciseStyle
Name
CallableBond.CallExerciseStyle
ans = "american"
ans = "bermudan"
ans = "american"
Use setCallExercisePolicy
to modify CallSchedule
and continue using a Bermudan
exercise style.
Strike = [100; 101;102;103]; ExerciseDates = [datetime(2018,1,1);datetime(2020,1,1);datetime(2022,1,1);datetime(2024,1,1)]; CallSchedule = timetable(ExerciseDates,Strike,'VariableNames',{'Strike Schedule'}); CallableBond(2) = setCallExercisePolicy(CallableBond(2), CallSchedule)
CallableBond=3×1 OptionEmbeddedFixedBond array with properties:
CouponRate
Period
Basis
EndMonthRule
Principal
DaycountAdjustedCashFlow
BusinessDayConvention
Holidays
IssueDate
FirstCouponDate
LastCouponDate
StartDate
Maturity
CallDates
PutDates
CallSchedule
PutSchedule
CallExerciseStyle
PutExerciseStyle
Name
CallableBond.CallExerciseStyle
ans = "american"
ans = "bermudan"
ans = "american"
Input Arguments
InstrumentObject
— Instrument object
OptionEmbeddedFixedBond
object | OptionEmbeddedFloatBond
object | ConvertibleBond
object
Instrument object, specified as a previously created OptionEmbeddedFixedBond
, OptionEmbeddedFloatBond
, or ConvertibleBond
object instrument object.
Note
If the OptionEmbeddedFixedBond
,
OptionEmbeddedFloatBond
, or ConvertibleBond
instrument object is a vector of instruments, you must use
setCallExercisePolicy
separately with each instrument.
Data Types: object
exerciseSchedule
— Call exercise schedule
timetable
Call exercise schedule, specified as a timetable. The timetable must contain both
the exerciseDate
value and Strike
information.
Data Types: timetable
exerciseStyle
— Call option exercise style
"American"
(default) | string with value "European"
, "American"
, or
"Bermudan"
| character vector with value 'European'
,
'American'
, or 'Bermudan'
Call option exercise style, specified as a scalar string or character vector.
Data Types: string
| char
Output Arguments
UpdatedInstrumentObject
— Updated instrument
object
Updated instrument, returned as an object.
Version History
Introduced in R2020b
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