Unformatted text preview: Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T
Time to maturity (yrs)
IsCall
TRUE if call, FALSE if put
IsFut
TRUE if futures option, FALSE otherwise
Divs
Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable)
IsAmerican
TRUE if American option, FALSE if European option
nSteps
Number of time steps on tree
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol
Example ### Function 3: BinaryOption(S,K,r,q,vol,T,IsCall,IsFut,Divs,IsCash,Result)
Carries out calculations for binary options on stocks, stock indices,currencies and futures
Arguments:
S
Asset Price
K
Strike price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
vol
Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T
Time to maturity (yrs)
IsCall
TRUE if call, FALSE if put
IsFut
TRUE if futures option, FALSE otherwise
Divs
Array containing time to dividend payment and size of dividend payment in cols 1 and 2. (Leave blank if not applicable)
IsCash
TRUE if Cash or Nothing, FALSE if Asset or Nothing
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol
Example ### (Delta of Cash or Nothing Call) Function 4: BarrierOption(S,K,r,q,vol,T,IsCall,IsFut,H,IsUp,IsIn,Result)
Carries out calculations for barrier options on non-dividend-paying stocks, stock indices, currencies and futures
Arguments:
S
Asset Price
K
Strike price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter 0 if this parameter not applicable)
vol
Volatility. BUT Enter Price if Implied Volatility is to be calculated (i.e. Result=6)
T
Time to maturity (yrs)
IsCall
TRUE if call, FALSE if put
IsFut
TRUE if futures option, FALSE otherwise
H
Barrier
IsUp
TRUE if Up option; FALSE if Down option
IsIn
TRUE if In option; FALSE if Out option
Result
0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol
Example ### (Price of down and out call option) Function 5: AverageOption(S,K,r,q,vol,T,IsCall,IsFut,CurrAve,TimeSoFar,Result)
Carries out calculations for Asian options on non-dividend-paying stocks, stock indices,currencies and futures
Arguments:
S
Asset Price
K
Strike price
r
Domestic risk-free rate
q
Dividend yield for stock index options, foreign risk free rate for currency options (Enter...
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- Winter '14
- ch ang, 3 #MACRO
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