stockoptspec

Specify European stock option structure

Syntax

StockOptSpec = stockoptspec(OptPrice,Strike,Settle,Maturity,OptSpec,InterpMethod)

StockOptSpec = stockoptspec(___,InterpMethod)

Description

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

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

Examples

Specify a European Stock Option Structure

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 =   datetime(2006,1,1);

Maturity = [datetime(2006,7,1) ; datetime(2006,7,1) ; datetime(2006,7,1) ; datetime(2006,7,1) ; datetime(2007,1,1) ; datetime(2007,1,1) ; datetime(2007,1,1) ; datetime(2007,1,1) ; datetime(2007,7,1) ;
    datetime(2007,7,1) ; datetime(2007,7,1) ; datetime(2007,7,1) ; datetime(2008,1,1) ; datetime(2008,1,1) ; datetime(2008,1,1) ; datetime(2008,1,1)];

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: [16×1 double]
          Strike: [16×1 double]
          Settle: 732678
        Maturity: [16×1 double]
         OptSpec: {16×1 cell}
    InterpMethod: 'price'

Input Arguments

OptPrice — European option prices

vector

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

Data Types: double

Strike — Strike prices

vector

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

Data Types: double

Settle — Settlement date

datetime scalar | string scalar | date character vector

Settlement date, specified as a scalar datetime, string, or date character vector.

To support existing code, stockoptspec also accepts serial date numbers as inputs, but they are not recommended.

Maturity — Maturity dates

datetime array | string array | date character vector

Maturity dates, specified as an NINST-by-1 vector using a datetime array, string array, or date character vectors.

To support existing code, stockoptspec also accepts serial date numbers as inputs, but they are not recommended.

OptSpec — Option type

cell array of character vectors with a value of 'call' or 'put'

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

Data Types: cell

InterpMethod — Interpolation method for option prices

'price' (default) | scalar character vector with value of 'price' or 'vol'

(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

StockOptSpec — Structure encapsulating the properties of a stock options structure

structure

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

Version History

Introduced in R2007a

R2022b: Serial date numbers not recommended

Although stockoptspec supports serial date numbers, datetime values are recommended instead. The datetime data type provides flexible date and time formats, storage out to nanosecond precision, and properties to account for time zones and daylight saving time.

To convert serial date numbers or text to datetime values, use the datetime function. For example:

t = datetime(738427.656845093,"ConvertFrom","datenum");
y = year(t)

y =

        2021

There are no plans to remove support for serial date number inputs.