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    %% Create an Asian Option Instrument  

% Copyright 2015 The MathWorks, Inc.


%% 
% Load the example instrument set, |deriv.mat|, and set the required values
% for an asian option instrument. 
load deriv.mat  

%% 
% Create a subportfolio with barrier and lookback options. 
CRRSubSet = instselect(CRRInstSet,'Type',{'Barrier', 'Lookback'});   

%% 
% Define the asian instrument. 
OptSpec = 'put';
Strike = NaN;
Settle = '01-Jan-2003';
ExerciseDates = '01-Jan-2004';  

%% 
% Add a floating strike asian option to the instrument set. 
InstSet = instasian(CRRSubSet, OptSpec, Strike, Settle, ExerciseDates);
instdisp(InstSet)