Resolution Documentation Installing & Registering Resolution Installing Resolution Registering Resolution End User License Agreement Getting Started with Resolution About Resolution Vanilla Options Bond Pricing Swap Pricing IRO Options Exotics Options Using Resolution Functions Inserting Resolution Functions Manually Typing the Function Using the Excel Function Wizard Using the Resolution Function Database Pasting an example from the Help Menu Entering an Array Formula The Menu Display ShowMe Screen Templates Function Database Sensitivity Analysis Contact Us Help About Exit Getting Help on Resolution Functions Getting Support About Resolution Financial Software General Implementation Details Example of an Resolution Function Parameter Types Date Range Object Rate Curve Zero Curve Zero Curve - Example Entering Curve Objects Entering Dates Entering Enumerated Constants Naming Conventions Vanilla Options Naming Conventions Bond Pricing Naming Conventions Swap Pricing Naming Conventions Exotic Pricing Naming Conventions IRO Options Naming Conventions Function Errors Known Issues in Resolution Vanilla Options Equity Options Background to Equity Option Pricing Choosing the Appropriate Equity Option Pricing Model Equity Option Pricing Functions Black Scholes Functions oBS( ) - Black Scholes Function oBS( ) Model Definition oBS( ) Model Greeks oBS( ) Valuation Assumptions oBS( ) Example 1 - Equity Call Option oBS( ) Example 2 - Equity Put Option oBS_IS( ) - Black Scholes Implied Spot Function oBS_IS( ) Example - Equity Put Option oBS_IV( ) - Black Scholes Implied Volatility Function oBS_IV( ) Example 1 - Equity Call Option oBS_IX( ) - Black Scholes Implied Strike Function oBS_IX( ) Example - Equity Call Option Black Scholes (Discrete Dividend) Functions oBSdd( ) - Black Scholes (Discrete Dividend) Function oBSdd( ) Model Definition oBSdd( ) Model Greeks oBSdd( ) Valuation Assumptions oBSdd( ) Example 1 - Equity Call Option with Discrete Dividends oBSdd( ) Example 2 - Equity Put Option with Discrete Dividends oBSdd_IS( ) - Black Scholes (Discrete Dividend) Implied Spot Function oBSdd_IS( ) Example - Equity Put Option with Discrete Dividends oBSdd_IV( ) - Black Scholes (Discrete Dividend) Implied Volatility Function oBSdd_IV( ) Example 1 - Equity Call Option oBSdd_IX( ) - Black Scholes (Discrete Dividend) Implied Strike Function oBSdd_IX( ) Example - Equity Call Option with Discrete Dividends Black Scholes Warrant Functions oBSw( ) - Black Scholes Warrant Function oBSw( ) Model Definition oBSw( ) Model Greeks oBSw( ) Valuation Assumptions oBSw( ) Example 1 oBSw( ) Example 2 oBSw_IS( ) - Black Scholes Warrant Implied Spot Function oBSw_IV( ) - Black Scholes Warrant Implied Volatility Function oBSw_IX( ) - Black Scholes Warrant Implied Strike Function Generalized Black Scholes Functions oGBS( ) - Generalized Black Scholes Function oGBS( ) Model Definition oGBS( ) Model Greeks oGBS( ) Net Cost of Carry Definitions oGBS( ) Valuation Assumptions oGBS( ) Example 1 - Equity Call Option oGBS( ) Example 2 - Equity Put Option with Continuous Dividends oGBS( ) Example 3 - Currency Call Option oGBS( ) Example 4 - Commodity Put Option oGBS_IS( ) - Generalized Black Scholes Implied Spot Function oGBS_IS( ) Example - Equity Put Option oGBS_IV( ) - Generalized Black Scholes Implied Volatility Function oGBS_IV( ) Example - Equity Put Option oGBS_IX( ) - Generalized Black Scholes Implied Strike Function oGBS_IX( ) Example - Equity Call Option oGBS_ZCC() Function Barone Adesi Whaley Functions oBAW( ) - Barone-Adesi Whaley Function oBAW( ) Model Definition oBAW( ) Model Greeks oBAW( ) Valuation Assumptions oBAW( ) Example 1 - Equity Call Option oBAW_IS( ) - Barone-Adesi Whaley Implied Spot Function oBAW_IV( ) - Barone-Adesi Whaley Implied Volatility Function oBAW_IX( ) - Barone-Adesi Whaley Implied Strike Function Roll Geske Whaley Functions oRGW( ) - Roll Geske Whaley Function oRGW( ) Model Definition oRGW( ) Model Greeks oRGW( ) Valuation Assumptions oRGW( ) Example 1 - Equity Call Option oRGW_IS( ) - Roll Geske Whaley Implied Spot Function oRGW_IV( ) - Roll Geske Whaley Implied Volatility Function oRGW_IX( ) - Roll Geske Whaley Implied Strike Function Binomial (Constant Step) Functions oBIN( ) - Constant Step BOPM Function oBIN( ) - Constant Step BOPM Definition oBIN( ) - Constant Step BOPM Derivation oBIN( ) Convergence Properties oBIN( ) Net Cost of Carry Definitions oBIN( ) Model Greeks oBIN( ) Example - American Put Option oBIN_IS( ) - Constant Step BOPM Implied Spot Function oBIN_IV( ) - Constant Step BOPM Implied Volatility Function oBIN_IX( ) - Constant Step BOPM Implied Strike Function Binomial (Variable Step) Functions oBIN2( ) - Variable Step BOPM Function oBIN2( ) Model Definition oBIN2( ) - Dividends and Carry Definitions oBIN2( ) Example - Bermudan Put Option oBIN2_IS( ) - Variable Step BOPM Implied Spot Function oBIN2_IV( ) - Variable Step BOPM Implied Volatility Function oBIN2_IX( ) - Variable Step BOPM Implied Strike Function Trinomial (Variable Step) Functions oTRI() Function Currency Options Background to Currency Option Pricing Choosing the Appropriate Currency Option Pricing Model Put-Call Parity for Currency Options An Example of Put-Call Parity for Currency Options Ordering' the Two Currencies Currency Option Pricing Functions Garman Kohlhagen Functions oGK( ) - Garman Kohlhagen Function oGK( ) Model Definition oGK( ) Model Greeks oGK( ) Valuation Assumptions oGK( ) Example 1 - Equity Call Option oGK( ) Example 2 - Equity Put Option oGK_IS( ) - Garman Kohlhagen Implied Spot Function oGK_IS( ) Example - Equity Put Option oGK_IV( ) - Garman Kohlhagen Implied Volatility Function oGK_IV( ) Example - Equity Put Option oGK_IX( ) - Garman Kohlhagen Implied Strike Function oGK_IX( ) Example - Equity Call Option Generalized Black Scholes Functions oGBS( ) - Generalized Black Scholes Function oGBS( ) Model Definition oGBS( ) Model Greeks oGBS( ) Net Cost of Carry Definitions oGBS( ) Valuation Assumptions oGBS( ) Example 1 - Equity Call Option oGBS( ) Example 2 - Equity Put Option with Continuous Dividends oGBS( ) Example 3 - Currency Call Option oGBS( ) Example 4 - Commodity Put Option oGBS_IS( ) - Generalized Black Scholes Implied Spot Function oGBS_IS( ) Example - Equity Put Option oGBS_IV( ) - Generalized Black Scholes Implied Volatility Function oGBS_IV( ) Example - Equity Put Option oGBS_IX( ) - Generalized Black Scholes Implied Strike Function oGBS_IX( ) Example - Equity Call Option oGBS_ZCC() Function Black Functions oBLACK( ) - Black Function 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 oBLACK_IF( ) - Black Implied Forward Function oBLACK_IF( ) Example - Call Option on a Forward Contract oBLACK_IV( ) - Black Implied Volatility Function oBLACK_IV( ) Example - Call Option on a Forward Contract oBLACK_IX( ) - Black Implied Strike Function oBLACK_IX( ) Example - Put Option on a Forward Contract Barone Adesi Whaley Functions oBAW( ) - Barone-Adesi Whaley Function oBAW( ) Model Definition oBAW( ) Model Greeks oBAW( ) Valuation Assumptions oBAW( ) Example 1 - Equity Call Option oBAW_IS( ) - Barone-Adesi Whaley Implied Spot Function oBAW_IV( ) - Barone-Adesi Whaley Implied Volatility Function oBAW_IX( ) - Barone-Adesi Whaley Implied Strike Function Binomial (Constant Step) Functions oBIN( ) - Constant Step BOPM Function oBIN( ) - Constant Step BOPM Definition oBIN( ) - Constant Step BOPM Derivation oBIN( ) Convergence Properties oBIN( ) Net Cost of Carry Definitions oBIN( ) Model Greeks oBIN( ) Example - American Put Option oBIN_IS( ) - Constant Step BOPM Implied Spot Function oBIN_IV( ) - Constant Step BOPM Implied Volatility Function oBIN_IX( ) - Constant Step BOPM Implied Strike Function Binomial (Variable Step) Functions oBIN2( ) - Variable Step BOPM Function oBIN2( ) Model Definition oBIN2( ) - Dividends and Carry Definitions oBIN2( ) Example - Bermudan Put Option oBIN2_IS( ) - Variable Step BOPM Implied Spot Function oBIN2_IV( ) - Variable Step BOPM Implied Volatility Function oBIN2_IX( ) - Variable Step BOPM Implied Strike Function Trinomial (Variable Step) Functions oTRI() Function Commodity Options Background to Commodity Option Pricing Choosing the Appropriate Commodity Option Pricing Model Commodity Option Pricing Functions Generalized Black Scholes Functions oGBS( ) - Generalized Black Scholes Function oGBS( ) Model Definition oGBS( ) Model Greeks oGBS( ) Net Cost of Carry Definitions oGBS( ) Valuation Assumptions oGBS( ) Example 1 - Equity Call Option oGBS( ) Example 2 - Equity Put Option with Continuous Dividends oGBS( ) Example 3 - Currency Call Option oGBS( ) Example 4 - Commodity Put Option oGBS_IS( ) - Generalized Black Scholes Implied Spot Function oGBS_IS( ) Example - Equity Put Option oGBS_IV( ) - Generalized Black Scholes Implied Volatility Function oGBS_IV( ) Example - Equity Put Option oGBS_IX( ) - Generalized Black Scholes Implied Strike Function oGBS_IX( ) Example - Equity Call Option oGBS_ZCC() Function Black Functions oBLACK( ) - Black Function 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 oBLACK_IF( ) - Black Implied Forward Function oBLACK_IF( ) Example - Call Option on a Forward Contract oBLACK_IV( ) - Black Implied Volatility Function oBLACK_IV( ) Example - Call Option on a Forward Contract oBLACK_IX( ) - Black Implied Strike Function oBLACK_IX( ) Example - Put Option on a Forward Contract Barone Adesi Whaley Functions oBAW( ) - Barone-Adesi Whaley Function oBAW( ) Model Definition oBAW( ) Model Greeks oBAW( ) Valuation Assumptions oBAW( ) Example 1 - Equity Call Option oBAW_IS( ) - Barone-Adesi Whaley Implied Spot Function oBAW_IV( ) - Barone-Adesi Whaley Implied Volatility Function oBAW_IX( ) - Barone-Adesi Whaley Implied Strike Function Binomial (Constant Step) Functions oBIN( ) - Constant Step BOPM Function oBIN( ) - Constant Step BOPM Definition oBIN( ) - Constant Step BOPM Derivation oBIN( ) Convergence Properties oBIN( ) Net Cost of Carry Definitions oBIN( ) Model Greeks oBIN( ) Example - American Put Option oBIN_IS( ) - Constant Step BOPM Implied Spot Function oBIN_IV( ) - Constant Step BOPM Implied Volatility Function oBIN_IX( ) - Constant Step BOPM Implied Strike Function Binomial (Variable Step) Functions oBIN2( ) - Variable Step BOPM Function oBIN2( ) Model Definition oBIN2( ) - Dividends and Carry Definitions oBIN2( ) Example - Bermudan Put Option oBIN2_IS( ) - Variable Step BOPM Implied Spot Function oBIN2_IV( ) - Variable Step BOPM Implied Volatility Function oBIN2_IX( ) - Variable Step BOPM Implied Strike Function Trinomial (Variable Step) Functions oTRI() Function Vanilla Options Templates Currency Options Equity Options - Discrete Dividends Equity Options - No Dividends Futures Option Portfolio GBS 3D Modelling Vanilla Options References Known Issues in Vanilla Options Fixed Interest (Bond Pricing) Introduction to Bond Pricing Bond Pricing Bond Pricing Details Bond Pricing Formulas Compound Interest (ISMA) ISMA Formula Example - Price ISMA Formula Example - Yield Simple Interest (Money Market) Formula Generic Bond Pricing Conventions Equal vs Exact Coupons Odd Coupon Periods Rounding Conventions Applications of Business Day Conventions Sovereign Government Bond Conventions Summary of Government Bond Conventions Ex-Dividend Conventions Detailed Government Bond Conventions Australian (CGB's) Bond Pricing Conventions Austrian (Bunds) Bond Pricing Conventions Belgium (OLO's) Bond Pricing Conventions Canadian (Canadas) Bond Pricing Conventions Danish (DGB's) Bond Pricing Conventions Finnish (Serial Bonds) Bond Pricing Conventions French (OAT's) Bond Pricing Conventions German (Bunds) Bond Pricing Conventions Irish (IGB's) Bond Pricing Conventions Italian (BTP's) Bond Pricing Conventions Japanese (JGB's) Bond Pricing Conventions Netherlands (DSL's) Bond Pricing Conventions New Zealand (NZG's) Bond Pricing Conventions Portuguese (OT's) Bond Pricing Conventions South African (Gilts) Bond Pricing Conventions Spanish (Bonos) Bond Pricing Conventions Swedish (Statssobligations) Bond Pricing Conventions Swiss (SGB's) Bond Pricing Conventions United Kingdom (Gilts) Bond Pricing Conventions United States (T-Bonds) Bond Pricing Conventions Special Pricing Conventions Australian Special Pricing Conventions Canadian Special Pricing Conventions Italian Special Pricing Conventions Japanese Special Pricing Conventions South Africa Special Pricing Conventions Swiss Special Pricing Conventions United States Special Pricing Conventions Bond Function Parameters Bond Function Output Definitions Bond Price/Yield Calculations Bond Risk Statistic Calculations Discrete Risk Statistic Calculations Equivalent Yield Calculations Converting Money Market Yields Computing the US Treasury Equivalent Yield Computing Remaining Equivalent Yields Computing the True Yield Cash Flow Map Calculations Cash Flow Map Output Bond Pricing Functions Generic Bond Functions oBond1_CFM( ) - Generic Bond Cash Flow Map Function 1 oBond1_CFM( ) Example oBond1_EYield( ) - Generic Bond Equivalent Yield Function 1 oBond1_EYield( ) Example oBond1_Price( ) - Generic Bond Price Function 1 oBond1_Price( ) Example oBond1_Yield( ) - Generic Bond Yield Function 1 oBond1_Yield( ) Example oBond2_CFM( ) - Generic Bond Cash Flow Map Function 2 oBond2_CFM( ) Example oBond2_EYield( ) - Generic Bond Equivalent Yield Function 2 oBond2_EYield( ) Example oBond2_Price( ) - Generic Bond Price Function 2 oBond2_Price( ) Example oBond2_Yield( ) - Generic Bond Yield Function 2 oBond2_Yield( ) Example oBond3_CFM( ) - Generic Bond Cash Flow Map Function 3 oBond3_CFM( ) Example oBond3_EYield( ) - Generic Bond Equivalent Yield Function 3 oBond3_EYield( ) Example oBond3_Price( ) - Generic Bond Price Function 3 oBond3_Price( ) Example oBond3_Yield( ) - Generic Bond Yield Function 3 oBond3_Yield( ) Example Sovereign Government Bond Functions Australian Government Bond Functions oBondAU_Price( ) - Australian Government Bond Price Function oBondAU_Price( ) Example oBondAU_Yield( ) - Australian Government Bond Yield Function oBondAU_CFM( ) - Australian Government Bond Cash Flow Map Function oBondAU_EYield( ) - Australian Government Bond Equivalent Yield Function Austrian Government Bond Functions oBondAT_Price( ) - Austrian Government Bond Price Function oBondAT_Yield( ) - Austrian Government Bond Yield Function oBondAT_Yield( ) Example oBondAT_CFM( ) - Austrian Government Bond Cash Flow Map Function oBondAT_EYield( ) - Austrian Government Bond Equivalent Yield Function Belgium Government Bond Functions oBondBE_Price( ) - Belgium Government Bond Price Function oBondBE_Yield( ) - Belgium Government Bond Yield Function oBondBE_Yield( ) Example oBondBE_CFM( ) - Belgium Government Bond Cash Flow Map Function oBondBE_EYield( ) - Belgium Government Bond Equivalent Yield Function Canadian Government Bond Functions oBondCA_Price( ) - Canadian Government Bond Price Function oBondCA_Yield( ) - Canadian Government Bond Yield Function oBondCA_Yield( ) Example oBondCA_CFM( ) - Canadian Government Bond Cash Flow Map Function oBondCA_EYield( ) - Canadian Government Bond Equivalent Yield Function Danish Government Bond Functions oBondDK_Price( ) - Danish Government Bond Price Function oBondDK_Yield( ) - Danish Government Bond Yield Function oBondDK_Yield( ) Example oBondDK_CFM( ) - Danish Government Bond Cash Flow Map Function oBondDK_EYield( ) - Danish Government Bond Equivalent Yield Function Finnish Government Bond Functions oBondFI_Price( ) - Finnish Government Bond Price Function oBondFI_Price( ) Example oBondFI_Yield( ) - Finnish Government Bond Yield Function oBondFI_CFM( ) - Finnish Government Bond Cash Flow Map Function oBondFI_EYield( ) - Finnish Government Bond Equivalent Yield Function French Government Bond Functions oBondFR_Price( ) - French Government Bond Price Function oBondFR_Yield( ) - French Government Bond Yield Function oBondFR_Yield( ) Example oBondFR_CFM( ) - French Government Bond Cash Flow Map Function oBondFR_EYield( ) - French Government Bond Equivalent Yield Function German Government Bond Functions oBondDE_Price( ) - German Government Bond Price Function oBondDE_Yield( ) - German Government Bond Yield Function oBondDE_Yield( ) Example oBondDE_CFM( ) - German Government Bond Cash Flow Map Function oBondDE_EYield( ) - German Government Bond Equivalent Yield Function Irish Government Bond Functions oBondIE_Price( ) - Irish Government Bond Price Function oBondIE_Yield( ) - Irish Government Bond Yield Function oBondIE_Yield( ) Example oBondIE_CFM( ) - Irish Government Bond Cash Flow Map Function oBondIE_EYield( ) - Irish Government Bond Equivalent Yield Function Italian Government Bond Functions oBondIT_Price( ) - Italian Government Bond Price Function oBondIT_Yield( ) - Italian Government Bond Yield Function oBondIT_Yield( ) Example oBondIT_CFM( ) - Italian Government Bond Cash Flow Map Function oBondIT_EYield( ) - Italian Government Bond Equivalent Yield Function Japanese Government Bond Functions oBondJP_Price( ) - Japanese Government Bond Price Function oBondJP_Yield( ) - Japanese Government Bond Yield Function oBondJP_Yield( ) Example oBondJP_CFM( ) - Japanese Government Bond Cash Flow Map Function oBondJP_EYield( ) - Japanese Government Bond Equivalent Yield Function Netherlands Government Bond Functions oBondNL_Price( ) - Netherlands Government Bond Price Function oBondNL_Yield( ) - Netherlands Government Bond Yield Function oBondNL_Yield( ) Example oBondNL_CFM( ) - Netherlands Government Bond Cash Flow Map Function oBondNL_EYield( ) - Netherlands Government Bond Equivalent Yield Function New Zealand Government Bond Functions oBondNZ_Price( ) - New Zealand Government Bond Price Function oBondNZ_Price( ) Example oBondNZ_Yield( ) - New Zealand Government Bond Yield Function oBondNZ_CFM( ) - New Zealand Government Bond Cash Flow Map Function oBondNZ_EYield( ) - New Zealand Government Bond Equivalent Yield Function Portuguese Government Bond Functions oBondPT_Price( ) - Portuguese Government Bond Price Function oBondPT_Yield( ) - Portuguese Government Bond Yield Function oBondPT_Yield( ) Example oBondPT_CFM( ) - Portuguese Government Bond Cash Flow Map Function oBondPT_EYield( ) - Portuguese Government Bond Equivalent Yield Function Spanish Government Bond Functions oBondES_Price( ) - Spanish Government Bond Price Function oBondES_Yield( ) - Spanish Government Bond Yield Function oBondES_Yield( ) Example oBondES_CFM( ) - Spanish Government Bond Cash Flow Map Function oBondES_EYield( ) - Spanish Government Bond Equivalent Yield Function South African Government Bond Functions oBondZA_Price( ) - South African Government Bond Price Function oBondZA_Price( ) Example oBondZA_Yield( ) - South African Government Bond Yield Function oBondZA_CFM( ) - South African Government Bond Cash Flow Map Function oBondZA_EYield( ) - South African Government Bond Equivalent Yield Function Swedish Government Bond Functions oBondSE_Price( ) - Swedish Government Bond Price Function oBondSE_Price( ) Example oBondSE_Yield( ) - Swedish Government Bond Yield Function oBondSE_CFM( ) - Swedish Government Bond Cash Flow Map Function oBondSE_EYield( ) - Swedish Government Bond Equivalent Yield Function Swiss Government Bond Functions oBondCH_Price( ) - Switzerland Government Bond Price Function oBondCH_Yield( ) - Switzerland Government Bond Yield Function oBondCH_Yield( ) Example oBondCH_CFM( ) - Switzerland Government Bond Cash Flow Map Function oBondCH_EYield( ) - Switzerland Government Bond Equivalent Yield Function United Kingdom Government Bond Functions oBondGB_Price( ) - United Kingdom Government Bond Price Function oBondGB_Yield( ) - United Kingdom Government Bond Yield Function oBondGB_Yield( ) Example oBondGB_CFM( ) - United Kingdom Government Bond Cash Flow Map Function oBondGB_EYield( ) - United Kingdom Government Bond Equivalent Yield Function United States Government Bond Functions oBondUS_Price( ) - United States Government Bond Price Function oBondUS_Yield( ) - United States Government Bond Yield Function oBondUS_Yield( ) Example oBondUS_CFM( ) - United States Government Bond Cash Flow Map Function oBondUS_EYield( ) - United States Government Bond Equivalent Yield Function Floating Rate Note Pricing Background to Floating Rate Note Pricing FRN Pricing Formulas FRN Function Parameters FRN Function Output Calculations FRN Price/Yield Calculations FRN - Equal Coupon Rates & Equal Coupon Periods FRN - Equal Coupon Rates & Exact Coupon Periods FRN - Different Coupon Rates & Exact Coupon Periods FRN Risk Statistic Calculations FRN - Calculation of Discount Margin Floating Rate Note Pricing Functions oFRNstd_Price( ) - Standard FRN Price Function oFRNstd_Price( ) Example oFRNstd_DM( ) - Standard FRN Discount Method Function oFRNstd_DM( ) Example oFRNstd_CFM( ) - Standard FRN Cash Flow Map Function oFRNstd_CFM( ) Example oFRNctm_Price( ) - Custom FRN Price Function oFRNctm_Price( ) Example oFRNctm_Price2( ) - Custom FRN Price Function oFRNctm_DM( ) - Custom FRN Discount Margin Function oFRNctm_DM( ) Example oFRNctm_DM2( ) - Custom FRN Discount Margin Function oFRNctm_Dates( ) - Custom FRN Dates Function oFRNctm_Dates( ) Example oFRNctm_CFM( ) - Custom FRN Cash Flow Map Function oFRNctm_CFM( ) Example oFRNctm_CFM2( ) - Custom FRN Cash Flow Map Function oFRNctm2_Price( ) - Custom2 FRN Price Function oFRNctm2_Price( ) Example FRN Examples - Zero Curve FRN Examples - Holiday Schedule oFRNctm2_Price2( ) - Custom2 FRN Price Function oFRNctm2_DM( ) - Custom2 FRN Discount Margin Function oFRNctm2_DM( ) Example oFRNctm2_DM2( ) - Custom2 FRN Discount Margin Function oFRNctm2_Dates( ) - Custom2 FRN Date Function oFRNctm2_Dates( ) Example oFRNctm2_CFM( ) - Custom2 FRN Cash Flow Map Function oFRNctm2_CFM( ) Example oFRNctm2_CFM2( ) - Custom2 FRN Cash Flow Map Function oFRNctm_Resets( ) - Custom FRN Reset Rate Map Function Money Market Instrument Pricing Background to Money Market Pricing Money Market Pricing Formulas Money Market Function Parameters Money Market Function Output Calculations Money Market Price/Yield Calculations Money Market Risk Statistic Calculations Money Market Pricing Functions oMMcpn_Price( ) - Coupon Bearing MM Instrument Price Function oMMcpn_Price( ) Example oMMcpn_Yield( ) - Coupon Bearing MM Instrument Yield Function oMMcpn_Yield( ) Example oMMdisc_Price( ) - Discount MM Instrument Price Function oMMdisc_Price( ) Example oMMdisc_Yield( ) - Discount MM Instrument Yield Function oMMcpn_Price( ) Example oMM_ConvertYld( ) - MM Convert Yield Function oMM_ConvertYield( ) Example oMM_ConvertDR( ) - MM Convert Discount Rate Function oMM_ConvertDR( ) Example Bond Pricing Templates Floating Rate Notes FRN1 - Standard (Formula) FRN1 - Standard (Projected) FRN2 - Custom1 FRN2 - Custom2 Generic Coupon Bonds Generic Coupon Bond Generic Coupon Bond (Simple) Generic Coupon Bond (Custom) Sovereign Bonds Australian (CGBs) Bond Pricing Template Austrian (Bunds) Bond Pricing Template Belgium (OLOs) Bond Pricing Template Canadian (Canadas) Bond Pricing Template Danish (DGBs) Bond Pricing Template Finnish (Serial Bonds) Bond Pricing Template French (OATs) Bond Pricing Template German (Bunds) Bond Pricing Template Irish (IGBs) Bond Pricing Template Italian (BTPs) Bond Pricing Template Japanese (JGBs) Bond Pricing Template Netherlands (DSLs) Bond Pricing Template New Zealand (NZGBs) Bond Pricing Template Portuguese (OTs) Bond Pricing Template South African (Gilts) Bond Pricing Template Spanish (Bonos) Bond Pricing Template Swedish (Statssobligations) Bond Pricing Template Swiss (SGBs) Bond Pricing Template United Kingdom (Gilts) Bond Pricing Template United States (T-Bonds) Bond Pricing Template Money Market Bond Pricing References Known Issues in Fixed Interest (Bond Pricing) Swaps Introduction to Swap Pricing Swap Function Parameters Currency Swaps Background to Currency Swaps Currency Swap Functions oSWPccy_Price( ) - Currency Swap Price Function Commodity Swaps Background to Commodity Swaps Commodity Swap Functions oSWPcmd1_Price( ) - Commodity Swap 1 Price Function oSWPcmd1_Price( ) Example oSWPcmd1_Price_FL( ) - Commodity Swap 1 Floating Leg Price Function oSWPcmd1_Price_FL( ) Example oSWPcmd1_Price_FX( ) - Commodity Swap 1 Fixed Leg Price Function oSWPcmd1_Price_FX( ) Example oSWPcmd1_CFM_FL( ) - Commodity Swap 1 Floating Leg Cash Flow Map Function oSWPcmd1_CFM_FL( ) Example oSWPcmd1_CFM_FX( ) - Commodity Swap 1 Fixed Leg Cash Flow Map Function oSWPcmd1_CFM_FX( ) Example Interest Rate Swaps Background to Interest Rate Swaps Introduction to Interest Rate Swaps Choosing the Appropriate Function Computing the Par Swap Rate (IRS) Interest Rate Swap Functions Swap 1 Functions - Vanilla Interest Rate Swaps oSWPir1_Price( ) - Interest Rate Swap 1 Price Function oSWPir1_Price( ) Example oSWPir1_Price_FL( ) - Interest Rate Swap 1 Floating Leg Price Function oSWPir1_Price_FL( ) Example oSWPir1_Price_FX( ) - Interest Rate Swap 1 Fixed Leg Price Function oSWPir1_Price_FX( ) Example oSWPir1_Dates( ) - Interest Rate Swap 1 Dates Function oSWPir1_CFM_FL( ) - Interest Rate Swap 1 Floating Leg Cash Flow Map Function oSWPir1_CFM_FL( ) Example oSWPir1_CFM_FX( ) - Interest Rate Swap 1 Fixed Leg Cash Flow Map Function oSWPir1_CFM_FX( ) Example Swap 2 Functions - Custom 1 Interest Rate Swaps oSWPir2_Price_FL( ) - Interest Rate Swap 2 Floating Leg Price Function oSWPir2_Price( ) Example oSWPir2_Price_FX( ) - Interest Rate Swap 2 Fixed Leg Price Function oSWPir2_Price( ) Example oSWPir2_Dates( ) - Interest Rate Swap 2 Dates Function oSWPir2_Dates( ) Example oSWPir2_CFM_FL( ) - Interest Rate Swap 2 Floating Leg Cash Flow Map Function oSWPir2_CFM_FL( ) Example oSWPir2_CFM_FX( ) - Interest Rate Swap 2 Fixed Leg Cash Flow Map Function oSWPir2_CFM_FL( ) Example Swap 3 Functions - Custom 2 Interest Rate Swaps oSWPir3_Price_FL( ) - Interest Rate Swap 3 Floating Leg Price Function oSWPir3_Price_FL2( ) - Interest Rate Swap 3 Floating Leg Price 2 Function oSWPir3_Price_FX( ) - Interest Rate Swap 3 Fixed Leg Price Function oSWPir3_Dates( ) - Interest Rate Swap 3 Dates Function oSWPir3_CFM_FL( ) - Interest Rate Swap 3 Floating Leg Cash Flow Map Function oSWPir3_CFM_FL2( ) - Interest Rate Swap 3 Floating Leg Cash Flow Map 2 Function oSWPir3_CFM_FX( ) - Interest Rate Swap 3 Fixed Leg Cash Flow Map Function Knockout Swap Functions - Vanilla Knockout Swaps oSWPknockout1_CFM_FL( ) Function oSWPknockout1_CFM_FX( ) Function oSWPknockout1_Price( ) Function oSWPknockout1_Price_FL( ) Function oSWPknockout1_Price_FX( ) Function Zero Curve Zero Curve Function Parameters Zero Curve Background Introduction to Zero Curve Construction Zero Curve Construction & Procedure Cash Curve Swap Curve Zero Curve Functions oZCcash_swap( ) - Zero Curve Construction Function Swaps Templates Currency Swap IRS1 - Vanilla IRS2 - Custom1 IRS3 - Custom2 Knockout Swap - Vanilla Vanilla Swap Portfolio Zero Curve (Swap Forward Rates) Zero Curve (Swap Zero Curve) Swap Pricing References Utilities for Swap Examples Zero Curve - Swap Examples Holiday Schedule - Swap Examples Holiday Schedule - IRO Examples Forward Price Curve - Commodity Swap Examples Forward Price Curve - Interest Rate Swap Examples Known Issues in Swaps Interest Rate Options Introduction to IRO Options At-Expiry Barrier Caps and Floors Background to At-Expiry Barrier Caps and Floors Introduction Definition At-Expiry Single Barrier Options At Expiry Double Barrier Options Pricing Examples Example 1: Down and In Caplet Example 2: Down and Out Floorlet Example 3: Down & Out / Up & Out Caplet At-Expiry Barrier Caps and Floors Functions oIRbarrier1_CFM oIRbarrier1_Price Bond Options Background to Bond Options Introduction to Pricing Approach Bond Options Functions oIRbondOption_BDT1( ) Function oIRbondOption_BDT2( ) Function oIRbondOption_HL( ) Function oIRbondOption_HW( ) Function oIRbondOption_BK( ) Function Callable and Puttable Bonds Background to Callable and Puttable Bonds Introduction to Pricing Approach Callable and Puttable Bonds Functions oIRcallPutBond_BDT1( ) Function oIRcallPutBond_BDT2( ) Function oIRcallPutBond_HL( ) Function oIRcallPutBond_HW( ) Function oIRcallPutBond_BK( ) Function Caps, Floors, and Collars Background to Caps, Collars, and Floors Introduction to Pricing Approach Using the Resolution Functions Cap, Floor and Collar Functions Vanilla Cap, Floor, Collar Functions oIRcap1_Price( ) - Interest Rate Cap Floor or Collar 1 Price Function oIRcap1_Price( ) Example oIRcap1_CFM( ) - Interest Rate Cap Floor or Collar 1 Cash Flow Map Function oIRcap1_CFM( ) Example oIRcap1_ZCC( ) - Interest Rate Specified (Zero) Cost Collar 1 Function oIRcap1_ZCC( ) Example Custom Cap, Floor, Collar Functions oIRcap2_Price( ) - Interest Rate Cap Floor or Collar 2 Price Function oIRcap2_Price( ) Example oIRcap2_Dates( ) - Interest Rate Cap Floor or Collar 2 Dates Function oIRcap2_Dates( ) Example oIRcap2_CFM( ) - Interest Rate Cap Floor or Collar 2 Cash Flow Map Function oIRcap2_CFM( ) Example oIRcap2_ZCC( ) - Interest Rate Specified (Zero) Cost Cap Floor or Collar 2 Function oIRcap2_ZCC( ) Example Forward Rate Agreement Functions oFRA( ) Function Swaptions Background to Swaptions Introduction to Pricing Approach European Swaptions American and Bermudan Swaptions Swaption Functions Priced from a Deal Map oIRvmswap_Price( ) - Interest Rate Swaption Price Function oIRvmswap_Map( ) - Interest Rate Swaption Map Function oIRvmswap_IV( ) - Interest Rate Swaption Implied Volatility Function Priced on a Tree oIRvmswap_BDT1( ) Function oIRvmswap_BDT2( ) Function oIRvmswap_HL( ) Function oIRvmswap_HW( ) Function oIRvmswap_BK( ) Function Term Structure Models Introduction to Term Structure Models Black-Derman-Toy (BDT) Hull and White (HW) Building HW Trinomial Trees with a Constant Timestep Building HW Trinomial Trees with Changing Timestep Improving Efficiency of the HW Model Ho and Lee (HL) Black and Karasinski (BK) Variable Maturity Swaps Background to Variable Maturity Swaps Introduction to Variable Maturity Swaps Variable Maturity Swaps Functions oIRvmswap_BDT1( ) Function oIRvmswap_BDT2( ) Function oIRvmswap__HL( ) Function oIRvmswap_HW( ) Function oIRvmswap_BK( ) Function Utilities for IRO Examples Holiday Schedule - IRO Examples Notional Schedule - IRO Examples Strike Rates - IRO Examples Volatility Curve - IRO Examples Zero Curve - IRO Examples Interest Rate Options Templates Barrier Caps and Floors - Vanilla Bond Options Callable-Puttable Bonds Caps, Floors, Collars - Custom Caps, Floors, Collars - Vanilla European Swaptions Swaptions Variable Maturity Swaps IRO Options References Known Issues in Interest Rate Options Exotic Options Introduction to Exotic Options Asian Options Background to Asian Options