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oX_Lookback_FXStrike_Imp( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

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

Given the option value, calculates an implied value for a fixed-strike lookback option 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

.

OptionValue

 

Observed value of the option.

 

Double

 

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 implied value to return. Note: when entering the function, the parameter for which an implied value is calculated may be left blank.

 

Enumerated Constant

 

1 - Spot
2 - Strike
3 - Volatility

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