Component 
Resolution  Vanilla Options 




Function Definition 
oBAW(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, NetCarry, OutputFlag) Calculates the option value using the BaroneAdesi 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 

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 
See Also oBAW_IS( )  BaroneAdesi Whaley Implied Spot Function oBAW_IV( )  BaroneAdesi Whaley Implied Volatility Function 
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