Component 
Resolution  Vanilla Options 




Function Definition 
oBSw_IS(WarrantPrice, ValueDate, MaturityDate, Exercise, Volatility, RiskFree, TotalShares, Warrants, SharesPerWarrent, DividendSchedule) Uses the NewtonRaphson iteration procedure to calculate the implied spot price that equates the given market price of the warrant with the Black Scholes model price of the warrant. Returns the implied spot only. 




Option Types 
European call warrants. 




Function Parameters 



Parameters

Description 

Parameter Type 

Restrictions 

. 

WarrantPrice 

Current market price of traded warrant. 

Double 

WarrantPrice > 0 

ValueDate 

Valuation date of the warrant. 

Date 

ValDate < MatDate 

MaturityDate 

Maturity date of the warrant. 

Date 

MatDate > ValDate 

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 

Shares PerWarrent 

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

Double 

SharesPerWar >= 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. 
See Also oBSw( )  Black Scholes Warrant Function oBS_IS( )  Black Scholes Implied Spot Function oBSw_IV( )  Black Scholes Warrant Implied Volatility Function 
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