oBSdd_IX( ) - Black Scholes (Discrete Dividend) Implied Strike Function


Component	Resolution - Vanilla Options

Function Definition	oBSdd_IX(CallPut, OptionValue, ValueDate, MaturityDate, Spot, Volatility, RiskFree, Dividends) Uses the Newton-Raphson iteration procedure to calculate the implied strike price that equates the given market price of the option with the Black-Scholes (Discrete Dividend) model price of the option. Returns the implied strike only.

Option Types	European options on Stocks with discrete dividends.

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
Spot		Current market price of the underlying asset.	Double	Spot > 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%
Dividends		The dividend schedule of the underlying stock. Entered as a range of cells 2 columns wide. The first column is the date while the second is the rate.	Curve	Each dividend date must be unique.