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oBIN2_IX( ) - Variable Step BOPM Implied Strike Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBIN2_IX(CallPut, ExerciseStyle, OptionValue, ValueDate, MaturityDate, Spot, Volatility RiskFree, Dividends, ExerciseDates, Steps)

Uses the Newton-Raphson iteration procedure to calculate the implied strike price that equates the given market price of the option with the variable step BOPM price of the option. Returns the implied strike only.

 

 

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
2 - Put

ExerciseStyle

 

Exercise type of the option.

 

Enumerated Constant

 

1 - European
2 - American
3 - Bermudan

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

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 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.

See dividends and carry definitions.

 

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

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