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oGBS_IS( ) - Generalized Black Scholes Implied Spot Function

Component

Resolution - Vanilla Options

 

 

Function Definition

oGBS_IS(CallPut, OptionValue, ValueDate, MaturityDate, Exercise, Volatility, RiskFree, NetCarry)

Uses the Newton-Raphson iteration procedure to calculate the implied spot price that equates the given market price of the option with the Generalized Black-Scholes model price of the option. Returns the implied spot only.

 

 

Option Types

European options on Stocks, Currencies, Futures, and Commodities.

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

OptionValue

 

Current market price of the option.

 

Double

 

Option Value > 0

ValueDate

 

Valuation date of the option.

 

Date

 

ValDate < MatDate

MaturityDate

 

Maturity date of the option.

 

Date

 

MatDate > ValDate

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%

NetCarry

 

The net cost of carry, entered as either a single rate or as a user defined rate curve object. See net cost of carry definitions for different option types.

 

Double or Curve

 

In This Section

oGBS_IS( ) Example - Equity Put Option

See Also

Parameter Types

oGBS( ) - Generalized Black Scholes Function

oBS_IS( ) - Black Scholes Implied Spot Function

oGBS_IV( ) - Generalized Black Scholes Implied Volatility Function

oGBS_IX( ) - Generalized Black Scholes Implied Strike Function

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