Construct lookback option
Define a floating strike lookback instrument with the following data:
OptSpec = 'call'; Strike = NaN; Settle = '01-Jan-2012'; ExerciseDates = '01-Jan-2015';
Create the instrument set.
InstSet = instlookback(OptSpec, Strike, Settle, ExerciseDates);
Display the lookback instrument.
Index Type OptSpec Strike Settle ExerciseDates AmericanOpt 1 Lookback call NaN 01-Jan-2012 01-Jan-2015 0
InstSet— Instrument variable
Instrument variable, specified only when adding Lookback instruments to an existing
instrument set. For more information on the
InstSet variable, see
OptSpec— Definition of option
'put'| cell array of character vectors with values
Definition of option, specified as a scalar
'put' using a character vector or an
1 cell array of character vectors for
Strike— Option strike price value
Option strike price value, specified as a scalar nonnegative integer or an
1 matrix of strike price values. Each
row is the schedule for one option.
Settle— Settlement date or trade date
Settlement date or trade date for the lookback option, specified as a scalar or an
1 matrix of settlement or trade dates
using serial date numbers or date character vectors.
ExerciseDates— Option exercise dates
Option exercise dates, specified as a scalar, matrix, or vector using serial date numbers or date character vectors:
For a European option, use an
matrix of exercise dates. Each row is the schedule for one option. For a European
option, there is only one
ExerciseDates on the option expiry
For an American option, use a
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
NaN date is listed, or if
ExerciseDates is a
1 vector of serial date numbers
or cell array of character vectors, the option can be exercised between
ValuationDate of the stock tree and the single listed
AmericanOpt— Option type
0European (default) | integer with values
(Optional) Option type, specified as a scalar or an
1 integer flags with values:
0 — European
1 — American
InstSet— Variable containing a collection of instruments
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
InstSet variable, see
FieldList— Name of each data field for Lookback instrument
Name of each data field for a Lookback instrument, returned as an
1 cell array of character
ClassList— Data class for each field
Data class for each field, returned as an
1 cell array of character vectors.
The class determines how arguments are parsed. Valid character vectors are
TypeString— Type of instrument
Type of instrument, returned as a character vector. For a Lookback instrument,
TypeString = 'Lookback'.
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.