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oProbAtMat( ) Function

Component

Resolution Pro - Utility

 

 

Function Definition

oProbAtMat(Price, Target, Return, Dividend, Volatility, DaysToMat, Output)

Calculates the probability that the price of an instrument will be higher or lower than a target price a given number of days in the future

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Price

 

Current price of the instrument.

 

Double

 

Price > 0

Target

 

Target price of the instrument.

 

Double

 

Target > 0

Return

 

The annualised rate of return of the instrument, expressed as a decimal.
Note this should be an annually compounded (act/365) rate.

 

Double

 

Dividend

 

The annually compounded (act/365) dividend yield of the instrument, expressed as a decimal.

 

Double

 

Volatility

 

Annualized volatility of the instrument, expressed as a decimal.

 

Double

 

Volatility > 0

DaysToMat

 

Days until maturity/test date.

 

Double

 

DaysToMat > 0

Output

 

Indicates which result will be displayed in the worksheet.

 

Enumerated Constant

 

1 - Probability that Spot > Strike
2 - Probability that Spot < Strike

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