oBSw( ) - Black Scholes Warrant Function


Component	Resolution - Vanilla Options

Function Definition	oBSw(ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, TotalShares, Warrants, SharesPerWarrent, DividendSchedule, OutputFlag) Calculates the warrant value using the Black-Scholes closed-form warrant pricing solution, incorporating an adjustment for dilution. Returns the warrant value and the Greeks associated with the warrant (if requested).

Option Types	European call warrants.

Function Parameters

Parameters		Description	Parameter Type	Restrictions
.
ValueDate		Valuation date of the warrant.	Date	ValDate < MatDate
MaturityDate		Maturity date of the warrant.	Date	MatDate > ValDate
Spot		Current market price of the underlying asset.	Double	Spot > 0
Exercise		Exercise price of the warrant.	Double	Exercise > 0
Standard Deviation		The standard deviation of the spot price plus the diluted warrant price.	Double	Standard Deviation >= 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%
TotalShares		Total number of outstanding shares of the underlying instrument.	Double	TotalShares >= 0
Warrants		The number of warrants.	Double	Warrants >= 0
SharesPerWarrent		The number of shares that can be purchased with each warrant.	Double	Shares PerWar >= 0
DividendSchedule		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. Alternatively, the dividend can be entered as a single continuous rate.	Curve or Double	If specified as a Curve, each dividend date must be unique.
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