DualStrikeBin

(ModelType, ExerciseType, OptionType, ModelStatistic, Asset1, Asset2, Strike1, Strike2, TimeExpire, Volatility1, Volatility2, InterestRate, YieldRate1, YieldRate2, Correlation, Iterations, QtyAsset1, QtyAsset2, MarketPrice, TimeFormat, InterestType, YieldRate1Type, YieldRate2Type)

Argument

Description

ModelType

Alphanumeric value indicating the type of dual-strike option:

•Standard = 1 or “s” (Standard dual-strike option)

•Reverse = 2 or “r” (Reverse dual-strike option)

ExerciseType

Alphanumeric value indicating the exercise type:

•American = 0 or "a" (case insensitive)

•European = 1 or "e" (case insensitive)

OptionType

Alphanumeric value indicating the type of option:

•Call = 1 or "c" (case insensitive)

•Put = 2 or "p" (case insensitive)

ModelStatistic

Numeric value indicating the type of function required for the return value:

•Theoretical = 1

•Theta = 4

•Rho = 7

•Delta1 = 30

•Delta2 = 31

•Gamma1 = 32

•Gamma2 = 33

•ImpliedVol1 = 34

•ImpliedVol2 = 35

•Vega1 = 36

•Vega2 = 37

•Psi1 = 38

•Psi2 = 39

•Lambda1 = 42

•Lambda2 = 43

•StrikeSensitivity1 = 44

•ImpliedStrike1 = 45

•StrikeSensitivity2 = 46

•ImpliedStrike2 = 47

•Chi = 48

•ImpliedCorrelation = 50

Asset1

The price of the underlying asset one. Must be > 0.

Asset2

The price of the underlying asset two. Must be > 0.

Strike1

The price at which the asset one can be purchased if the option is a call or sold if the option is a put. Must be > 0.

Strike2

The price at which the asset two can be purchased if the option is a call or sold if the option is a put. Must be > 0.

TimeExpire

Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be > 0.

Volatility1

Annualized volatility of the asset one. Must be > 0.

Volatility2

Annualized volatility of the asset two. Must be > 0.

InterestRate

Risk-free interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument. Must be > 0.

YieldRate1

Yield, expressed as a percentage (dividends or interest yield), of the first underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the Yield1Type argument.

YieldRate2

Yield, expressed as a percentage (dividends or interest yield), of the second underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the Yield2Type argument.

Correlation

The correlation between the first underlying asset price and the second underlying asset price.

Must be -1 < Correlation < 1.

Iterations

The number of iterations used for the model. Must be between 5 and 100. As the number of iterations increase, the time required for a calculation increases exponentially. Good results can be obtained with 30 iterations.

QtyAsset1

Optional. The quantity of asset one. If omitted, QtyAsset1=1. QtyAsset1 must be > 0.

QtyAsset2

Optional. The quantity of asset two. If omitted, QtyAsset2=1. QtyAsset2 must be > 0.

MarketPrice

Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0.

TimeFormat

Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either:

•Days = 0 or "D" (case insensitive)

•Years = 1 or "Y" (case insensitive)

InterestType

Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used.

Yield1Type

Optional. Alphanumeric value indicating the type of YieldRate1 to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used.

Yield2Type

Optional. Alphanumeric value indicating the type of YieldRate2 to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used.

Calculate all of functions of a reverse American style dual-strike call where the option is 180 days from expiration, the first asset price is $33, the second asset price is $28, the first exercise price is $35, the second exercise price is $30, the risk-free interest rate is 6% per annum, the yield rate of the first and second assets are both 2% per annum, the correlation is 0.3, the annual volatility of the first asset is 35%, and the annual volatility of the second asset is 25%. All rates are considered continuous, the quantities are set to 1 and Iterations = 10. So,

Input

Output

Variable

Value

Function

Name

Value

ModelType

Reverse

1

Theoretical:

5.003526

ExerciseType

American

4

Theta:

-0.012664

OptionType

Call

7

Rho:

-0.009317

Asset1:

33

30

Delta Asset 1:

0.379471

Asset2:

28

31

Delta Asset 2:

-0.451532

Strike1:

35

32

Gamma 1:

0.034971

Strike2:

30

33

Gamma 2:

0.061171

TimeExpire

180

34

Implied Vol. 1:

0.349584

Volatility1:

35%

35

Implied Vol. 2:

0.249497

Volatility2:

25%

36

Vega Vol. 1:

0.084786

IntRate

6%

37

Vega Vol. 2:

0.070057

YieldRate1:

2%

38

Psi Yield 1:

-0.061755

YieldRate2:

2%

39

Psi Yield 2:

0.049703

Correlation:

0.3

42

Lambda 1:

2.502746

Iterations

10

43

Lambda 2:

-2.526798

QtyAsset1

1

44

Strike Sens 1:

-0.287411

QtyAsset2

1

45

Implied Strike 1:

35.012293

MarketPrice:

5

46

Strike Sens 2:

0.506109

TimeFormat

Days

47

Implied Strike 2:

29.993001

48

Chi:

0.730448

50

Implied Corr:

0.295041

Exchange

Exchange Binomial

Exchange on Exchange

Portfolio

Rainbow

Rainbow Binomial

Spread

Spread Binomial

Two Asset Correlation