oBSdd( ) - Black Scholes (Discrete Dividend) Function


Component	Resolution - Vanilla Options

Function Definition	oBSdd(CallPut, ValueDate, MaturityDate, Spot, Exercise, Volatility, Riskfree, Dividends, OutputFlag) Calculates the option value using the Black-Scholes closed form option pricing solution, factoring into the spot price any discrete dividend paid during the life of the option. Returns the option value and Greeks associated with the option (if requested)

Option Types	European options on Stocks with discrete dividends.

Function Parameters

Parameters		Description	Parameter Type	Restrictions
.
CallPut		Option type.	Enumerated Constant	1 - Call 2 - Put
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
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%
Dividends		The dividend schedule of the underlying stock. Entered as a range of cells 2 columns wide. The first column is the date while the second is the rate.	Curve	Each dividend date must be unique.
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 - Value & Greeks 1 - Value only 2 - Delta only 3 - Gamma only 4 - Theta only 5 - Vega only 6 - Rho only