Component 
Resolution  Vanilla Options 




Function Definition 
oGBS_ZCC(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, NetCarry, OutputFlag) Calculates a zerocost collar using the Generalised BlackScholes (1973) model 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

CallPut 

Option type. 

Enumerated Constant 

1  Call 

ValueDate 

Valuation date. 

Double 

ValueDate < MaturityDate 

MaturityDate 

Date the option expires. 

Double 

MaturityDate > ValueDate 

Spot 

Current market price of the underlying asset. 

Curve 

Spot > 0 

Exercise 

Exercise price of the option. 

Double 

Exercise > 0 

Volatility 

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

Double 

Volaility > 0 

RiskFree 

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

Curve 


NetCarry 

Net cost of carry, entered as either a single rate (act/365) or as a user defined zero curve object. 

Curve 


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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