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oBAW_IS( ) - Barone-Adesi Whaley Implied Spot Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBAW_IS(CallPut, OptionValue, ValueDate, MaturityDate, Exercise, Volatility, RiskFree, NetCarry)

Uses the Newton-Raphson iteration procedure to calculate the implied spot price that equates the given market price of the option with the Barone-Adesi Whaley quadratic approximation of the option price. Returns the implied spot only.

 

 

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

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 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

 

See Also

Parameter Types

oBAW( ) - Barone-Adesi Whaley Function

oBAW_IV( ) - Barone-Adesi Whaley Implied Volatility Function

oBAW_IX( ) - Barone-Adesi Whaley Implied Strike Function

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