Component 
Resolution  Exotic Options 




Function Definition 
oX_ForwardStart_Imp(OptionValue, CallPut, ValueDate, StartDate, ExpiryDate, Spot, Moneyness, RiskFree, Carry, Volatility, OutputFlag) Given the option value, calculates an implied value for a forward start option using Rubinstein's (1990) 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 

Valuedate <= StartDate 

StartDate 

Date at which the option will become active. 

Date 


ExpiryDate 

Expiry date of the option. 

Date 

ExpiryDate >= StartDate 

Spot 

Current market price of the underlying asset. 

Double 

Spot > 0 

Moneyness 

Degree by which the option is in or out of the money. 

Double 

Moneyness > 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 
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