Component 
Resolution  Exotic Options 




Function Definition 
oX_Asian_GAR2_Imp(OptionValue, CallPut, ValueDate, IssueDate, ExpiryDate, Spot, AverageSpot, Strike, RiskFree, Carry, Volatility, FixDates, OutputFlag) Given an option value, calculates an implied value for a discretely monitored geometric average rate option using the Levy's (1996) approximation 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

OptionValue 

Observed value of the option. 

Double 


CallPut 

Option type. 

Enumerated Constant 

1  Call 

ValueDate 

Valuation date. 

Date 


IssueDate 

Date at which the option was written. 

Date 


ExpiryDate 

Expiry date of the option. 

Date 


Spot 

Current market price of the underlying asset. 

Double 

Spot > 0 

AverageSpot 

Average price of the underlying asset. 

Double 


Strike 

Strike price of the option. 

Double 

Strike > 0 

RiskFree 

Risk free interest rate, expressed as an annually compounded Actual 365 rate. 

Double 


Carry 

Net cost of carry, expressed as an annually compounded Actual 365 rate. 

Double 


Volatility 

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

Double 

Volatility > 0 

FixDates 

List of the dates upon which rate fixes occur. 

Vector 

FixDates vector must be a range of values 1 cell wide and 1 or more cells high. 

OutputFlag 

Indicates which implied value to return. Note: when entering the function, the parameter for which an implied value is calculated may be left blank. 

Enumerated Constant 

1  Spot 
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