setExercisePolicy

Set exercise policy for FixedBondOption, FloatBondOption, or Vanilla instrument

Since R2020b

Syntax

UpdatedInstrumentObject = setExercisePolicy(InstrumentObject,exerciseDate,Strike,exerciseStyle)

Description

UpdatedInstrumentObject = setExercisePolicy(InstrumentObject,exerciseDate,Strike,exerciseStyle) sets the exercise policy for a FixedBondOption, FloatBondOption, or Vanilla instrument object.

Examples

Set Exercise Policy for Fixed Bond Option Instrument

This example shows how to use setExercisePolicy to maintain consistency between the exercise schedule and exercise style when using a FixedBondOption instrument.

Create FixedBond Instrument Object

Use fininstrument to create a FixedBond instrument object as the underlying bond.

BondInst = fininstrument("FixedBond",'Maturity',datetime(2029,9,15),'CouponRate',.021,'Period',1,'Name',"bond_instrument");

Create FixedBondOption Instrument Object

Use fininstrument to create a callable FixedBondOption instrument object with a European exercise.

FixedBOption = fininstrument("FixedBondOption",'ExerciseDate',datetime(2025,9,15),'Strike',98,'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"european",'Name',"fixed_bond_option")

FixedBOption = 
  FixedBondOption with properties:

       OptionType: "call"
    ExerciseStyle: "european"
     ExerciseDate: 15-Sep-2025
           Strike: 98
             Bond: [1×1 fininstrument.FixedBond]
             Name: "fixed_bond_option"

Set the Exercise Style to American

Use setExercisePolicy to define ExerciseStyle as American.

FixedBOption = setExercisePolicy(FixedBOption,datetime(2025,9,15),98,"American")

FixedBOption = 
  FixedBondOption with properties:

       OptionType: "call"
    ExerciseStyle: "american"
     ExerciseDate: 15-Sep-2025
           Strike: 98
             Bond: [1×1 fininstrument.FixedBond]
             Name: "fixed_bond_option"

Set Exercise Policy for a Specific Fixed Bond Option Instrument

This example shows how to use setExercisePolicy to maintain consistency between the exercise schedule and exercise style when using a FixedBondOption instrument object with three Fixed Bond instruments.

Create FixedBond Instrument Object

Use fininstrument to create a FixedBond instrument object as the underlying bond.

BondInst = fininstrument("FixedBond",'Maturity',datetime(2029,9,15),'CouponRate',.021,'Period',1,'Name',"bond_instrument");

Create FixedBondOption Instrument Object

Use fininstrument to create a callable FixedBondOption instrument object for three Fixed Bond Option instruments with European exercises.

FixedBOption = fininstrument("FixedBondOption",'ExerciseDate',datetime([2025,9,15 ; 2025,10,15 ; 2025,11,15]),'Strike',98,'Bond',BondInst,'OptionType',"call",'ExerciseStyle',"european",'Name',"fixed_bond_option")

FixedBOption=3×1 FixedBondOption array with properties:
    OptionType
    ExerciseStyle
    ExerciseDate
    Strike
    Bond
    Name

Set the Exercise Style to American

Use setExercisePolicy to define ExerciseStyle as American for the second (FixedBOption(2)) instrument.

FixedBOption(2) = setExercisePolicy(FixedBOption(2),datetime(2025,9,15),98,"American")

FixedBOption=3×1 FixedBondOption array with properties:
    OptionType
    ExerciseStyle
    ExerciseDate
    Strike
    Bond
    Name

FixedBOption(2).ExerciseStyle

ans = 
"american"

FixedBOption.ExerciseStyle

ans = 
"european"

ans = 
"american"

ans = 
"european"

Input Arguments

InstrumentObject — Instrument object

FixedBondOption object | FloatBondOption object | Vanilla object

Instrument object, specified using a previously created FixedBondOption, FloatBondOption, or Vanilla instrument object.

Note

If the FixedBondOption, FloatBondOption, or Vanilla instrument object is a vector of instruments, you must use setExercisePolicy separately with each instrument.

Data Types: object

exerciseDate — Exercise date

datetime

Exercise date, specified as a scalar datetime.

Data Types: datetime

Strike — Strike

numeric

Strike, specified as a scalar numeric.

Data Types: double

exerciseStyle — Option exercise style

"American" (default) | string with value "European", "American", or "Bermudan" | character vector with value 'European', 'American', or 'Bermudan'

Option exercise style, specified as a scalar string or character vector.

Data Types: string | char

Output Arguments

UpdatedInstrumentObject — Updated instrument object

object

Updated instrument object, returned as an object.

Version History

Introduced in R2020b