Component 
Resolution  Exotic Options 




Function Definition 
oX_Asian_Curran(CallPut, ValueDate, FirstAvgDate, ExpiryDate, TimeBetweenAvgs, NumberOfAvgs, Spot, Strike, RiskFree, Carry, Volatility, OutputFlag) Calculates the value of a discretelymonitored arithmetic averagerate option using Curran's (1992) approximation. 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

CallPut 

Option type. 

Enumerated Constant 

1  Call 

ValueDate 

Valuation date. 

Date 


FirstAvgDate 

First in the sequence of averaging dates. 

Date 

FirstAvgDate > ValueDate 

ExpiryDate 

Expiry date of the option. 

Date 

ExpiryDate > FirstAvgDate 

TimeBetweenAvgs 

Gap between averaging dates. 

Double 

TimeBetweenAvgs > 0 

NumberOfAvgs 

Number of averaging dates to use. 

Double 

NumberOfAvgs > 0 

Spot 

Current market price of the underlying asset. 

Double 

Spot > 0 

Strike 

Strike price of the option. 

Double 

Strike > 0 

RiskFree 

Risk free interest rate, expressed as an annually compounded Actual 365 rate. 

Double 


Carry 

Net cost of carry, expressed as an annually compounded Actual 365 rate. 

Double 


Volatility 

Annualized volatility of the underlying asset, expressed as a decimal. 

Double 

Volatility > 0 

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 and Greeks 
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