Component 
Resolution  Vanilla Options 




Function Definition 
oBIN2(CallPut, ExerciseStyle, ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, Dividends, ExerciseDates, Steps, OutputFlag) Calculates the option value using the variablestep binomial option pricing model (BOPM). Returns the option value and Greeks associated with the option (if requested). 




Option Types 
Suitable for Bermudan and American options with discrete dividends. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

CallPut 

Option type. 

Enumerated Constant 

1  Call 

ExerciseStyle 

Exercise type of the option. 

Enumerated Constant 

1  European 

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% 

Dividends 

The dividend schedule or net cost of carry. 

Double or Curve 

If specified as a Curve, each dividend date must be unique. 

ExerciseDates 

Schedule of discrete dates on which the option can be exercised. Entered as a single column vector of dates. 

Vector 

Each Exercise Date must be unique. 

Steps 

The number of steps in the binomial tree. Although there is no upper limit, the speed of calculation will deteriorate for high step numbers. 

Long 

Steps >= 2 

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 
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