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 

ExerciseStyle 

Exercise style of the option. 

Enumerated Constant 

1  European 

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 
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