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instasian

Construct Asian option

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Syntax

InstSet = instasian(OptSpec,Strike,Settle,ExerciseDates)
InstSet = instasian(InstSet,OptSpec,Strike,Settle,ExerciseDates)
InstSet = instasian(___,AmericanOpt,AvgType,AvgPrice,AvgDate)
[FieldList,ClassList,TypeString = instasian

Description

example

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

example

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

example

InstSet= instasian(___,AmericanOpt,AvgType,AvgPrice,AvgDate)adds optional arguments.

example

[FieldList,ClassList,TypeString= instasianlists field meta-data for the Asian instrument.

Examples

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Open Live Script

Load the example instrument set,deriv.mat, and set the required values for an asian option instrument.

loadderiv.mat

Create a subportfolio with barrier and lookback options.

CRRSubSet = instselect(CRRInstSet,'Type',{'Barrier','Lookback'});

Define the asian instrument.

OptSpec ='put'; Strike = NaN; Settle ='01-Jan-2003'; ExerciseDates ='01-Jan-2004';

Add a floating strike asian option to the instrument set.

InstSet = instasian(CRRSubSet, OptSpec, Strike, Settle, ExerciseDates); instdisp(InstSet)
Index Type OptSpec Strike Settle ExerciseDates AmericanOpt BarrierSpec Barrier Rebate Name Quantity 1 Barrier call 105 01-Jan-2003 01-Jan-2006 1 ui 102 0 Barrier1 1 Index Type OptSpec Strike Settle ExerciseDates AmericanOpt Name Quantity 2 Lookback call 115 01-Jan-2003 01-Jan-2006 0 Lookback1 7 3 Lookback call 115 01-Jan-2003 01-Jan-2007 0 Lookback2 9 Index Type OptSpec Strike Settle ExerciseDates AmericanOpt AvgType AvgPrice AvgDate Name Quantity 4 Asian put NaN 01-Jan-2003 01-Jan-2004 0 arithmetic NaN NaN NaN

Input Arguments

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Instrument variable, specified only when adding asian instruments to an existing instrument set. For more information on theInstSetvariable, seeinstget.

Data Types:struct

Definition of option, specified as'call'or'put'using a scalar character vector or anNINST-by-1vecto单元阵列的字符rs.

Data Types:char|cell

Option strike price value, specified with a scalar nonnegative integer or anNINST-by-1vector of strike price values.

Data Types:double

Settlement date or trade date for the Asian option, specified as scalar or anNINST-by-1vector using serial date numbers or date character vectors.

Data Types:double|char

Option exercise dates, specified as anNINST-by-1vector using serial date numbers or date character vectors .

For a European option (whenAmericanOpt=0):

NINST-by-1vector of exercise dates. Each row is the schedule for one option. For a European option, there is only one exercise date, the option expiry date.

For an American option ( whenAmericanOpt=1):

NINST-by-2vector of exercise date boundaries. For each instrument, the option can be exercised on any tree date between or including the pair of dates on that row. If only one non-NaNdate is listed, or ifExerciseDatesis anNINST-by-1, the option can be exercised between the valuation date of the stock tree and the single listed exercise date.

Data Types:double|char

(Optional) Indicator for American option, specified as a scalar or anNINST-by-1vector.

IfAmericanOpt = 0,NaN, or is unspecified, the option is a European option. IfAmericanOpt = 1, the option is an American option.

Data Types:double

(Optional) Averaging type, specified as a character vector with a value of'arithmetic'for arithmetic average or'geometric'for geometric average.

Data Types:char

(Optional) Average price of underlying asset at theSettledate, specified as a scalar numeric.

Note

UseAvgPricewhenAvgDate<Settle.

Data Types:double

(Optional) Date averaging period begins, specified as a scalar using a serial date number or date character vector.

Data Types:char|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 theInstSetvariable, seeinstget.

Name of each data field for an Asian instrument, returned as anNFIELDS-by-1vecto单元阵列的字符rs.

Data class for each field, returned as anNFIELDS-by-1vecto单元阵列的字符rs. The class determines how arguments are parsed. Valid character vectors are'dble','date', and'char'.

Type of instrument, returned as a character vector. For an Asian option instrument,TypeString = 'Asian'.

More About

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Asian Option

AnAsianoption is a path-dependent option with a payoff linked to the average value of the underlying asset during the life (or some part of the life) of the option.

亚洲选项类似于t lookback选项hat there are two types of Asian options: fixed (average price option) and floating (average strike option). Fixed Asian options have a specified strike, while floating Asian options have a strike equal to the average value of the underlying asset over the life of the option. For more information, seeAsian Option.

Version History

Introduced before R2006a

See Also

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