Component 
Resolution  Exotic Options 




Function Definition 
oX_FuturesSpread_Imp(OptionValue, CallPut, ValueDate, ExpiryDate, PriceOne, PriceTwo, Strike, RiskFree, VolatilityOne, VolatilityTwo, Correlation, OutputFlag) Given the option value, calculates an implied value for a European futures spread option using Kirk's (1995) method 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

OptionValue 

Observed value of the option. 

Double 


CallPut 

Option type. 

Enumerated Constant 

1  Call 

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 

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  Price One 
Copyright 2013 Hedgebook Ltd.