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oIRbarrier1_Price( ) Function

Component

Resolution - IRO Pricing

 

 

Function Definition

oIRbarrier1_Price(OptionType, ValueDate, EffectiveDate, MaturityDate, NotionalPrincipal, StrikeRate, Barrier, ResetFrequency, AccrualBasis, BusDayConv, InterpMethod, Volatility, ResetCycle, ResetCurve, DiscountingCurve, Holidays, Output)

Calculates fair value and risk statistics for a standard interest rate barrier cap or floor

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

OptionType

 

Specifies whether the option is a cap, floor, or collar.

 

Enumerated Constant

 

1 - Cap
2 - Floor
3 - Collar

ValueDate

 

The valuation date of the option.

 

Date

 

ValDate < SettleDate

EffectiveDate

 

The reset date of the first optlet.

 

Date

 

EffDate < MatDate

MaturityDate

 

The maturity date of the option.

 

Date

 

As above.

NotionalPrincipal

 

The notional value of the option.

 

Double

 

Notional >= 0

StrikeRate

 

The exercise price of the option.

 

Double

 

Barrier

 

 

Either a single value, or an array of two values with the upper barrier first and the lower barrier second.

 

ResetFrequency

 

Frequency of the optlets.

 

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly

AccrualBasis

 

Basis for determining payment amounts.
See Day Count Conventions

 

Enumerated Constant

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

BusDayConv

 

Business day convention. Used to determine the start and end date of each optlet period.
See Day Count Conventions

 

Enumerated Constant

 

1 - No Adjustment
2 - Previous
3 - Following
4 - Mod Previous
5 - Mod Following
6 - EOM No Adjust
7 - EOM previous
8 - EOM following

InterpMethod

 

Interpolate discount factors or rates?

 

Enumerated Constant

 

1 - Discount Factors
2 - Zero Rates

Volatility

 

Annualized volatility of the underlying asset, expressed as a decimal.

 

Double

 

Volatility > 0%

ResetCycle

 

Determines if the rate reset cycle is computed backwards from the maturity date or forwards from the effective date.

 

Enumerated Constant

 

1 - Maturity Date
2 - Effective Date

PaymentTiming

 

Determines the timing of the optlet payments.

 

Enumerated Constant

 

1 - Advance
2 - Arrears

ResetCurve

 

Zero curve used for projecting the rates.

 

Curve

 

Curve must be three columns.

DiscountingCurve

 

Zero curve used for discounting.

 

Curve

 

Curve must be three columns.

Holidays

 

Schedule of non-business days (excluding weekends)

 

Date Range

 

Leave blank if not applicable.

Output

 

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 - All Values
1 - Option Value
2 - Delta
3 - Gamma
4 - Theta
5 - Vega

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