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Component |
Resolution - Vanilla Options |
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Function Definition |
oTRI(CallPut, ExerciseStyle, ValueDate, MaturityDate, Spot, ExerciseSchedule, Volatility, RiskFree, Dividends, Steps, OutputFlag) Trinomial option pricing model constructed with variable timesteps. Suitable for all Bermudan options and American options with discrete or continuous dividends |
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Function Parameters |
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Parameters |
Description |
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Parameter Type |
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Restrictions |
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CallPut |
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Option type. |
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Enumerated Constant |
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1 - Call |
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ExerciseStyle |
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Exercise style of the option. |
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Enumerated Constant |
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1 - European |
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ValueDate |
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Valuation date. |
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Date |
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MaturityDate |
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Date the option expires |
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Date |
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Spot |
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Current market price of the underlying asset. |
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Curve |
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ExerciseSchedule |
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The exercise dates and strike rates for the option. For European exercise, enter just the strike rate. |
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Curve |
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Volatility |
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Annualized volatility of the underlying asset, expressed as a decimal. |
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Curve |
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RiskFree |
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Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object. |
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Curve |
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Dividends |
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Schedule of divident payements |
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Curve |
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Steps |
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Number of steps in tree |
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Enumerated Constant |
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0 < Steps |
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OutputFlag |
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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. |
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Enumerated Constant |
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0 - All values |
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Copyright © 2005 Resolution Financial Software.