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oBLACK( ) - Black Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oBLACK(CallPut, ValueDate, MaturityDate, Forward, Exercise, Volatility, RiskFree, OutputFlag)

Calculates the option value using Black's (1976) model. Returns the option value and the Greeks associated with the option (if requested).

 

 

Option Types

European options on Forward and Futures Contracts.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

Restrictions

.

CallPut

 

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

ValueDate

 

Valuation date of the option.

 

Date

 

ValDate < MatDate

MaturityDate

 

 

Maturity date of the option.

 

Date

 

MatDate > ValDate

Forward

 

 

Current forward price of the underlying asset at MaturityDate.

 

Double

 

Forward > 0

Exercise

 

 

Exercise price of the option.

 

Double

 

Exercise > 0

Volatility

 

 

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

 

Double

 

Volatility > 0%

RiskFree

 

 

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

Double or Curve

 

RiskFree >= 0%

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 - Value & Greeks
1 - Value only
2 - Delta only
3 - Gamma only
4 - Theta only
5 - Vega only
6 - Rho only

See Also

Parameter Types

oGBS( ) - Generalized Black Scholes Function

oBLACK_IF( ) - Black Implied Forward Function

oBLACK_IV( ) - Black Implied Volatility Function

oBLACK_IX( ) - Black Implied Strike Function

In This Section

oBLACK( ) Model Definition

oBLACK( ) Model Greeks

oBLACK( ) Valuation Assumptions

oBLACK( ) Example 1 - Call Option on a Forward Contract

oBLACK( ) Example 2 - Put Option of a Forward Contract

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