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oX_FuturesSpread( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_FuturesSpread(CallPut, ValueDate, ExpiryDate, PriceOne, PriceTwo, Strike, RiskFree, VolatilityOne, VolatilityTwo, Correlation, OutputFlag)

Calculates the option value and Greeks for a European futures spread option using Kirk's (1995) method

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

ValueDate

 

Valuation date.

 

Date

 

ExpiryDate

 

Expiry date of the option.

 

Date

 

PriceOne

 

Current market price for the first futures contract.

 

Double

 

PriceTwo

 

Current market price for the second futures contract.

 

Double

 

Strike

 

Strike price of the option.

 

Double

 

RiskFree

 

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

 

Double

 

VolatilityOne

 

Annualized volatility of the first futures contract, expressed as a decimal.

 

Double

 

VolatilityTwo

 

Annualized volatility of the second futures contract, expressed as a decimal.

 

Double

 

Correlation

 

Correlation between the prices of the first and second futures contract.

 

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 - Value & Greeks
1 - Value
2 - Delta (Contract One)
3 - Delta (Contract Two)
4 - Gamma (Contract One)
5 - Gamma (Contract Two)
6 - Theta
7 - Vega (Contract One)
8 - Vega (Contract Two)
9 - Rho
10 - Sensitivity to Correlation

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