oGBS_ZCC( ) Function

Component

Resolution - Vanilla Options

Function Definition

oGBS_ZCC(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, RiskFree, NetCarry, OutputFlag)

Calculates a zero-cost collar using the Generalised Black-Scholes (1973) model

Function Parameters

Parameters

Description

Parameter Type

Restrictions

.

CallPut

Option type.

Enumerated Constant

1 - Call
2 - Put

ValueDate

Valuation date.

Double

ValueDate < MaturityDate

MaturityDate

Date the option expires.

Double

MaturityDate > ValueDate

Spot

Current market price of the underlying asset.

Curve

Spot > 0

Exercise

Exercise price of the option.

Double

Exercise > 0

Volatility

Annualized volatility of the underlying asset, expressed as a decimal.

Double

Volaility > 0

RiskFree

Risk free interest rate, entered as either a single rate (act/365) or as a user defined zero curve object.

Curve

NetCarry

Net cost of carry, entered as either a single rate (act/365) or as a user defined zero curve object.

Curve

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 - All values
1 - Option value
2 - Delta
3 - Gamma
4 - Theta
5 - Vega
6 - Rho
7 - Phi