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oX_Ratchet_Imp( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_Ratchet_Imp(OptionValue, CallPut, ValueDate, ExpiryDate, Spot, Moneyness, RiskFree, Carry, Volatility, Payments, OutputFlag)

Given the option value, calculates an implied value for a ratchet option

 

 

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

 

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

Payments

 

Total number of payments.

 

Enumerated Constant

 

Payments > 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 - Moneyness
3 - Riskfree
4 - Volatility

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