Component 
Resolution  Vanilla Options 




Function Definition 
oBSdd_IX(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Volatility, RiskFree, Dividends) Uses the NewtonRaphson iteration procedure to calculate the implied strike price that equates the given market price of the option with the BlackScholes (Discrete Dividend) model price of the option. Returns the implied strike only. 




Option Types 
European options on Stocks with discrete dividends. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

CallPut 

Option type. 

Enumerated Constant 

1  Call 

OptionValue 

Current market price of the option. 

Double 

Option Value > 0 

ValueDate 

Valuation date of the option. 

Date 

ValDate < MatDate 

MaturityDate 

Maturity date of the option. 

Date 

MatDate > ValDate 

Spot 

Current market price of the underlying asset. 

Double 

Spot > 0 

Volatility 

Annualized volatility of the underlying asset, expressed as a decimal. 

Double 

Volatility > 0% 

RiskFree


Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object. 

Double or Curve 

RiskFree >= 0% 

Dividends 

The dividend schedule of the underlying stock. Entered as a range of cells 2 columns wide. The first column is the date while the second is the rate. 

Curve 

Each dividend date must be unique. 
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