setCallExercisePolicy

Set call exercise policy for OptionEmbeddedFixedBond, OptionEmbeddedFloatBond, or ConvertibleBond instrument

Syntax

UpdatedInstrumentObject = setCallExercisePolicy(InstrumentObject,exerciseSchedule,exerciseStyle)

Description

UpdatedInstrumentObject = setCallExercisePolicy(InstrumentObject,exerciseSchedule,exerciseStyle) sets the call exercise policy for a OptionEmbeddedFixedBond, OptionEmbeddedFloatBond, or ConvertibleBond instrument.

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: ""

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.

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.