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oBSw_IX( ) - Black Scholes Warrant Implied Strike Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBSw_IX(WarrantPrice, ValueDate, MaturityDate, Spot, Volatility, RiskFree, TotalShares, Warrants, SharesPerWarrent, DividendSchedule)

Uses the Newton-Raphson iteration procedure to calculate the implied strike price that equates the given market price of the warrant with the Black Scholes model price of the warrant. Returns the implied strike 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

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 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%

Total Shares

 

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

 

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

Parameter Types

oBSw( ) - Black Scholes Warrant Function

oBSw_IS( ) - Black Scholes Warrant Implied Spot Function

oBSw_IV( ) - Black Scholes Warrant Implied Volatility Function

oBS_IX( ) - Black Scholes Implied Strike Function

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