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oGK_IS( ) - Garman Kohlhagen Implied Spot Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oGK_IS(CallPut, OptionValue, ValueDate, MaturityDate, Exercise, Volatility, RiskFree_D, RiskFree_F)

Uses the Newton-Raphson iteration procedure to calculate the implied spot price that equates the given market price of the option with the Garman Kohlhagen model price of the option. Returns the implied spot only.

 

 

Option Types

European options on Currencies.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

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

Exercise

 

Exercise rate of the option.

 

Double

 

Exercise > 0

Volatility

 

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

Double

 

Volatility > 0%

RiskFree_D

 

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

 

Double or Curve

 

RiskFree_D >= 0%

RiskFree_D

 

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

 

Double or Curve

RiskFree_F >= 0%

See Also

Parameter Types

oGK( ) - Garman Kohlhagen Function

oGBS_IS( ) - Generalized Black Scholes Implied Spot Function

oGK_IV( ) - Garman Kohlhagen Implied Volatility Function

oGK_IX( ) - Garman Kohlhagen Implied Strike Function

In This Section

oGK_IS( ) Example - Equity Put Option

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