oBIN2_IX( ) - Variable Step BOPM Implied Strike Function

Component

Resolution - Vanilla Options

Function Definition

oBIN2_IX(CallPut, ExerciseStyle, OptionValue, ValueDate, MaturityDate, Spot, Volatility RiskFree, Dividends, ExerciseDates, Steps)

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

Option Types

Suitable for Bermudan and American options with discrete dividends.

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
3 - Bermudan

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%

Dividends

The dividend schedule or net cost of carry.

See dividends and carry definitions.

Double or Curve

If specified as a Curve, each dividend date must be unique.

ExerciseDates

Schedule of discrete dates on which the option can be exercised. Entered as a single column vector of dates.

Vector

Each Exercise Date must be unique.

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