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oX_Exchange( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_Exchange(ValueDate, ExpiryDate, ExerciseStyle, SpotOne, SpotTwo, QuantityOne, QuantityTwo, RiskFree, CarryOne, CarryTwo, VolatilityOne, VolatilityTwo, Correlation, OutputFlag)

Values an American- or European-exercised asset exchange call option using Bjerksund and Stensland's (1993) or Margrabe's (1978) method

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

ValueDate

 

Valuation date.

 

Date

 

ExpiryDate

 

Expiry date of the option.

 

Date

 

ExerciseStyle

 

Exercise style of the option.

 

Enumerated Constant

 

1 - Call
2 - Put

SpotOne

 

Current market price of the first underlying asset.

 

Double

 

SpotOne > 0

SpotTwo

 

Current market price of the second underlying asset.

 

Double

 

SpotTwo > 0

QuantityOne

 

Quantity of asset one to be exchanged.

 

Double

 

QuantiyOne > 0

QuantityTwo

 

Quantity of asset two to be exchanged.

 

Double

 

QuantiyTwo > 0

RiskFree

 

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

 

Double

 

CarryOne

 

Net cost of carry of the first underlying asset, expressed as an annually compounded Actual 365 rate.

 

Double

 

CarryTwo

 

Net cost of carry of the second underlying asset, expressed as an annually compounded Actual 365 rate.

 

Double

 

VolatilityOne

 

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

 

Double

 

VolatilityOne > 0

VolatilityTwo

 

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

 

Double

 

VolatilityTwo > 0

Correlation

 

Correlation between the prices of the first and second assets.

 

Double

 

Correlation > -1
Correlation < 1

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 - Fair value & Greeks
1 - Value
2 - Delta (Spot One)
3 - Delta (Spot Two)
4 - Gamma (Spot One)
5 - Gamma (Spot Two)
6 - Theta
7 - Vega (Volatility One)
8 - Vega (Volatility Two)
9 - Rho
10 - Phi (Carry One)
11 - Phi (Carry Two)
12 - Sensitivity to Quanitity One
13 - Sensitivity to Quantity Two
14 - Sensitivity to Correlation

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