Component 
Resolution  Vanilla Options 




Function Definition 
oBSw(ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, TotalShares, Warrants, SharesPerWarrent, DividendSchedule, OutputFlag) Calculates the warrant value using the BlackScholes closedform warrant pricing solution, incorporating an adjustment for dilution. Returns the warrant value and the Greeks associated with the warrant (if requested). 




Option Types 
European call warrants. 




Function Parameters 



Parameters

Description 

Parameter Type 

Restrictions 

. 

ValueDate 

Valuation date of the warrant. 

Date 

ValDate < MatDate 

MaturityDate 

Maturity date of the warrant. 

Date 

MatDate > ValDate 

Spot 

Current market price of the underlying asset. 

Double 

Spot > 0 

Exercise 

Exercise price of the warrant. 

Double 

Exercise > 0 

Standard Deviation 

The standard deviation of the spot price plus the diluted warrant price. 

Double


Standard Deviation >= 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% 

TotalShares 

Total number of outstanding shares of the underlying instrument. 

Double 

TotalShares >= 0 

Warrants 

The number of warrants. 

Double 

Warrants >= 0 

SharesPerWarrent 

The number of shares that can be purchased with each warrant. 

Double 

Shares PerWar >= 0 

DividendSchedule 

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. Alternatively, the dividend can be entered as a single continuous rate. 

Curve or Double


If specified as a Curve, each dividend date must be unique. 

OutputFlag 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function. 

Enumerated Constant 

0  Value & Greeks 
See Also oBS( )  Black Scholes Function oBSw_IS( )  Black Scholes Warrant Implied Spot Function oBSw_IV( )  Black Scholes Warrant Implied Volatility Function 
In This Section 
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