stockoptspec

Specify European stock option structure

Description

example

StockOptSpec = stockoptspec(OptPrice,Strike,Settle,Maturity,OptSpec,InterpMethod) creates a structure encapsulating the properties of a stock option structure.

example

StockOptSpec = stockoptspec(___,InterpMethod) specifies options using one or more optional arguments in addition to the input arguments in the previous syntax.

Examples

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This example shows how to specify a European stock option structure using the following data quoted from liquid options in the market with varying strikes and maturity.

Settle =   '01/01/06';

Maturity =    ['07/01/06';
    '07/01/06';
    '07/01/06';
    '07/01/06';
    '01/01/07';
    '01/01/07';
    '01/01/07';
    '01/01/07';
    '07/01/07';
    '07/01/07';
    '07/01/07';
    '07/01/07';
    '01/01/08';
    '01/01/08';
    '01/01/08';
    '01/01/08'];

Strike = [113;
   101;
   100;
    88;
   128;
   112;
   100;
    78;
   144;
   112;
   100;
    69;
   162;
   112;
   100;
    61];

OptPrice =[                 0;
   4.807905472659144;
   1.306321897011867;
   0.048039195057173;
                   0;
   2.310953054191461;
   1.421950392866235;
   0.020414826276740;
                   0;
   5.091986935627730;
   1.346534812295291;
   0.005101325584140;
                   0;
   8.047628153217246;
   1.219653432150932;
   0.001041436654748];


OptSpec = { 'call';
    'call';
    'put';
    'put';
    'call';
    'call';
    'put';
    'put';
    'call';
    'call';
    'put';
    'put';
    'call';
    'call';
    'put';
    'put'};

StockOptSpec = stockoptspec(OptPrice, Strike, Settle, Maturity, OptSpec)
StockOptSpec = struct with fields:
          FinObj: 'StockOptSpec'
        OptPrice: [16x1 double]
          Strike: [16x1 double]
          Settle: 732678
        Maturity: [16x1 double]
         OptSpec: {16x1 cell}
    InterpMethod: 'price'

Input Arguments

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European option prices, specified as an NINST-by-1 vector.

Data Types: double

Strike prices, specified as an NINST-by-1 vector.

Data Types: double

Settlement date, specified as a scalar numeric date.

Data Types: double

Maturity dates, specified as an NINST-by-1 vector.

Data Types: double

Option type, specified as an NINST-by-1 cell array of character vectors with a value of 'call' or 'put'.

Data Types: cell

(Optional) Interpolation method for option prices, specified as a scalar character vector with one of the following values:

  • 'price' indicates that prices are used for interpolation purposes.

  • 'vol' indicates that implied volatilities are used for interpolation purposes. The interpolated values are then used to calculate the implicit interpolated prices.

.

Data Types: char

Output Arguments

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Structure encapsulating the properties of a stock options structure, returned as a structure.

Introduced in R2007a