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oX_Lookback_FXStrike( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_Lookback_FXStrike(CallPut, ValueDate, LookbackStart, ExpiryDate, Spot, ObservedLimit, Strike, RiskFree, Carry, Volatility, OutputFlag)

using either Conze and Viswanathan's (1991) method for full-period options, or Heynan and Kat's (1994) method for partial-period options

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

ValueDate

 

Valuation date.

 

Date

 

LookbackStart

 

Date upon which the lookback period begins.

 

Date

 

ExpiryDate

 

Expiry date of the option.

 

Date

 

Spot

 

Current market price of the underlying asset.

 

Double

 

Spot > 0

ObservedLimit

 

Observed maximum/minimum of the price of the underlying asset.

 

Double

 

ObservedLimit > 0
ObservedLimit can be omitted where ValueDate < LookbackStart

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
1 - Value
2 - Delta
3 - Gamma
4 - Vega
5 - Rho
6 - Phi
7 - Sensitivity to Observed Limit

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