oBIN_IX( ) - Constant Step BOPM Implied Strike Function

Component

Resolution - Vanilla Options

Function Definition

oBIN_IX(CallPut, ExerciseStyle, OptionValue, ValueDate, MaturityDate, Spot, Volatility RiskFree, NetCarry, Steps)

Uses the Newton-Raphson iteration procedure to calculate the implied strike price that equates the given market price of the option with the BOPM price of the option. Returns the implied strike only.

Option Types

Suitable for 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

ExerciseStyle

Exercise type of the option.

Enumerated Constant

1 - European
2 - American

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%

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

Steps

The number of steps in the binomial tree. Although there is no upper limit, the speed of calculation will deteriorate for high step numbers.

Long

Steps >= 2