This parameter not applicable vol volatility but

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Unformatted text preview: 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 CurrAve Current Average (irrelevant if a new instrument) TimeSoFar Time since beginning of averaging in years (zero for a new instrument) Result 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol Example ### Function 6: ChooserOption(S,K,r,q,vol,T,IsFut,TimeToChoice,Result) Carries out calculations for chooser 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) IsFut TRUE if futures option, FALSE otherwise TimeToChoice Time until choice between call and put has to be made Result 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol Example ### Function 7: CompoundOption(S,K1,r,q,vol,T1,IsCall,IsFut,K2,T2,IsOptionOnCall,Result) Carries out calculations for compound options on non-dividend-paying stocks, stock indices,currencies and futures Arguments: S Asset Price K1 First 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) T1 Time to first exercise IsCall True if first option a call, FALSE if first option a put IsFut TRUE if futures option, FALSE otherwise K2 Second strike price T2 Time to second exercise IsOptionOnCall TRUE if second option is a call, FALSE if second option is a put Result 0=Price; 1=Delta; 2=Gamma; 3=Vega; 4=Theta; 5=Rho; 6=Implied Vol Example ### Function 8: LookbackOption(S,r,q,vol,T,IsCall,IsFut,IsFixedLookback,Smax,Smin,K,Result) Carries out calculations for lookback options on non-dividend-paying stocks, stock indices,currencies and futures Arguments: S Asset 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. B...
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This document was uploaded on 04/10/2014.

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