oRGW( ) - Roll Geske Whaley Function


Component	Resolution - Vanilla Options

Function Definition	oRGW(ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, DividendDate, DividendAmount, OutputFlag) Calculates the option value using the Roll Geske Whaley closed form option pricing solution. Returns the option value and Greeks associated with the option (if requested)

Option Types	American call options on Stocks that pay a single discrete dividend.

Function Parameters

Parameters		Description	Parameter Type	Restrictions
.
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
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%
DividendDate		The date the dividend is paid.	Date
DividendAmount		The amount of the dividend.	Double
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 7 - Phi only