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oProbBeforeMat( ) Function

Component

Resolution - Utility

 

 

Function Definition

oProbBeforeMat(Price, Target, Return, Dividend, Volatility, DaysToMat)

Calculates the probability of an instrument's price passing a target price before a given number of days have elapsed.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

Price

 

Current price of the instrument.

 

Double

 

Price > 0

Target

 

Target price of the instrument.

 

Double

 

Targe > 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

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