www.gusucode.com > fininst 案例源码程序 matlab代码 > fininst/CreateanAsianOptionInstrumentExample.m
%% 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)