oBAW_IS( ) - Barone-Adesi Whaley Implied Spot Function

Component

Resolution - Vanilla Options

Function Definition

oBAW_IS(CallPut, OptionValue, ValueDate, MaturityDate, Exercise, Volatility, RiskFree, NetCarry)

Uses the Newton-Raphson iteration procedure to calculate the implied spot price that equates the given market price of the option with the Barone-Adesi Whaley quadratic approximation of the option price. Returns the implied spot only.

Option Types

American options on Stocks, Stock Indices, Currencies and Futures.

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

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%

NetCarry

The net cost of carry, entered as either a single rate or as a user defined rate curve object. See net cost of carry definitions for different option types.

Double or Curve

See Also

Parameter Types

oBAW( ) - Barone-Adesi Whaley Function

oBAW_IV( ) - Barone-Adesi Whaley Implied Volatility Function

oBAW_IX( ) - Barone-Adesi Whaley Implied Strike Function