Previous Topic

Next Topic

oX_FuturesSpread_Imp( ) Function

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
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 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
2 - Price Two
3 - Strike
4 - Riskfree
5 - Correlation

Return to www.derivativepricing.com website

Copyright 2013 Hedgebook Ltd.