oBSdd_IS( ) - Black Scholes (Discrete Dividend) Implied Spot Function


Component	Resolution - Vanilla Options

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

Option Types	European options on Stocks.

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
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.