oBAW( ) - Barone-Adesi Whaley Function


Component	Resolution - Vanilla Options

Function Definition	oBAW(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, NetCarry, OutputFlag) Calculates the option value using the Barone-Adesi Whaley quadratic approximation method. Returns the option value and the Greeks associated with the option (if requested).

Option Types	American options on Stocks, Stock Indices, Currencies and Futures.

Function Parameters

Parameters		Description	Parameter Type	Restrictions
.
CallPut		Option type.	Enumerated Constant	1 - Call 2 - Put
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
Exercise		Exercise price of the option.	Double	Exercise > 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%
NetCarry		The net cost of carry, entered as either a single rate or as a user defined rate curve object. See net cost of carry definitions for different option types.	Double or Curve
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 1 - Value only 2 - Delta only 3 - Gamma only 4 - Theta only 5 - Vega only 6 - Rho only 7 - Phi only