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oTRI( ) Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oTRI(CallPut, ExerciseStyle, ValueDate, MaturityDate, Spot, ExerciseSchedule, Volatility, RiskFree, Dividends, Steps, OutputFlag)

Trinomial option pricing model constructed with variable timesteps. Suitable for all Bermudan options and American options with discrete or continuous dividends

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

ExerciseStyle

 

Exercise style of the option.

 

Enumerated Constant

 

1 - European
2 - American
3 - Bermudan

ValueDate

 

Valuation date.

 

Date

 

MaturityDate

 

Date the option expires

 

Date

 

Spot

 

Current market price of the underlying asset.

 

Curve

 

ExerciseSchedule

 

The exercise dates and strike rates for the option. For European exercise, enter just the strike rate.

 

Curve

 

Volatility

 

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

 

Curve

 

RiskFree

 

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object.

 

Curve

 

Dividends

 

Schedule of divident payements

 

Curve

 

Steps

 

Number of steps in tree

 

Enumerated Constant

 

0 < Steps

OutputFlag

 

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
6 - Rho

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