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oGBS_ZCC()

Component

Resolution - Vanilla Options

 

 

Function Definition

oGBS_ZCC(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, NetCarry, OutputFlag)

Calculates a zero-cost collar using the Generalised Black-Scholes (1973) model

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

ValueDate

 

Valuation date.

 

Double

 

MaturityDate

 

Date the option expires.

 

Double

 

Spot

 

Current market price of the underlying asset.

 

Curve

 

Exercise

 

Exercise price of the option.

 

Double

 

Volatility

 

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

 

Double

 

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
1 - Option value
2 - Delta
3 - Gamma
4 - Theta
5 - Vega
6 - Rho
7 - Phi

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