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 = datetime(2012,1,1);
ExerciseDates = datetime(2015,1,1);

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

datetime array | string array | date character vector

Settlement date or trade date for the lookback option, specified as a scalar or an NINST-by-1 vector using a datetime array, string array, or date character vectors.

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

ExerciseDates — Option exercise dates

datetime array | string array | date character vector

Option exercise dates, specified as a scalar or a NINST-by-1 vector using a datetime array, string array, or date character vectors:

• For a European option, use an NINST-by-1 vector 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 dates, the option can be exercised between ValuationDate of the stock tree and the single listed ExerciseDates.

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

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: 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.

Version History

Introduced before R2006a

R2022b: Serial date numbers not recommended

Although instlookback 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.