FixedBondOption
instrument object
Create and price a FixedBondOption
instrument object using
this workflow:
Use fininstrument
to create a FixedBondOption
instrument object.
Use finmodel
to specify
a HullWhite
or
BlackKarasinski
model for the
FixedBondOption
instrument.
Use finpricer
to
specify an IRTree
pricing
method for the FixedBondOption
instrument.
For more information on this workflow, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
For more information on the available models and pricing methods for a
FixedBondOption
instrument, see Choose Instruments, Models, and Pricers.
creates a FixedBondOptionObj
= fininstrument(InstrumentType
,'Strike
',strike_value,'ExerciseDate
',exercise_date,'Bond
',bond_obj)FixedBondOption
object by specifying
InstrumentType
and sets the properties for
the required name-value pair arguments Strike
,
ExerciseDate
, and Bond
.
The FixedBondOption
instrument supports a European or
American option. For more information, see More About.
sets optional properties
using additional name-value pairs in addition to the required arguments in
the previous syntax. For example, FixedBondOptionObj
= fininstrument(___,Name,Value
)FixedBondOptionObj =
fininstrument("FixedBondOption",'Strike',100,'ExerciseDate',datetime(2019,1,30),'Bond',bond_obj,'OptionType','put','ExerciseStyle',"American",'Name',"fixed_bond_option")
creates a FixedBondOption
instrument with a strike of 100
and an American exercise. You can specify multiple name-value pair
arguments.
setExercisePolicy | Set exercise policy for FixedBondOption ,
FloatBondOption , or Vanilla instrument |
After creating a FixedBondOption
instrument object, you can use
setExercisePolicy
to
change the size of the options. For example, if you have the following
instrument:
FixedBOption = fininstrument("FixedBondOption",'ExerciseDate',datetime(2022,9,15),'Strike',98,'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"European")
FixedBondOption
instrument's size by changing the
ExerciseStyle
from "European"
to
"American"
, use setExercisePolicy
:FixedBOption = setExercisePolicy(FixedBOption,[datetime(2021,1,1) datetime(2022,1,1)],100,'American')