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Entering Enumerated Constants

Enumerated constants (short for enumerated constants) are preset values that indicate which methodology, or set of assumptions, should be used in the calculation. For example, an option can either be a call or a put. Setting the CallPut input parameter to 1 will value a call option whilst a 2 will value a put, as shown in the following example (see oBS( ) Function):

Equation Template

In the above example, all parameter inputs are identical, except for the CallPut parameters in row 11, which is set to 1 for the call example (not shown), and 2 for the put example (see formula bar). Note, in this instance, the CallPut parameter is a cell reference (i.e., cell G11 for the put example) that is set to 2, however the value could have equally been directly entered into the function.

 

Referring to the formula bar, an example of directly entering an enum constant, is the final parameter - OutputFlag. This has been set to 1 in both instances, which instructs the function to return the option value only. If it had of been set to 2, then the function would have returned the option's delta only, and so on for the alternative constants (see oBS( ) Function).

 

Note, an entry outside the scope of constants supplied (e.g. 0 or 3 for the call put parameter in the above example) will generate an error.

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