CompoundBin

(ExerciseType, OptionType, ModelStatistic, Asset, StrikeOption, StrikeUnderly, TimeExpire, Volatility, InterestRate, YieldRate, Iterations, MarketPrice, TimeFormat, InterestType, YieldType)

Argument

Description

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_Call = 1 or "cc" (call option on a call option)

•Call_Put = 2 or "cp" (call option on a put option)

•Put_Call = 3 or "pc" (put option on a put option)

•Put_Put = 4 or "pp" (put option on a put option)

ModelStatistic

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

•Theoretical = 1

•Delta = 2

•Gamma = 3

•Theta = 4

•ImpliedVol = 5

•Vega = 6

•Rho = 7

•Psi = 8

•Lambda = 9

•UnderlyStrikeSensativity = 58

•UnderlyImpliedStrike = 59

•OptionStrikeSensativity = 60

•OptionImpliedStrike = 61

Asset

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

StrikeOption

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

StrikeUnderly

The price at which the underlying asset 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 expiration compound and underlying options. Must be > 0.

Volatility

Annualized volatility of the underlying security. 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.

YieldRate

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

Iterations

The number of iterations used for the trinomial model. Must be between 5 and 500.

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.

YieldType

Optional. Alphanumeric value indicating the type of YieldRate 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 for an American compound call on put option whose asset price 225 days from expiration is $66. The exercise price of the compound call is $3.5, the exercise price of the underlying call is $70, the risk-free interest rate is 8% per annum, the yield rate is 5.25% per annum, and the annual volatility is 20%. All of the rates are considered continuous and Iterations = 100. So,

Input

Output

Variable

Value

Function

Name

Value

ExerciseType

American

1

Theoretical:

3.841591

OptionType

2 (Call on Put)

2

Delta:

-0.456361

Asset

66

3

Gamma:

0.041088

StrikeOption

3.5

4

Theta:

-0.006695

StrikeUnderly

70

5

Implied Vol.:

0.207964

TimeExpire

225

6

Vega:

0.198901

Volatility

20%

7

Rho:

-0.150289

InterestRate

8%

8

Psi:

0.135487

YieldRate

5.25%

9

Lambda:

-7.840450

MarketPrice

4

58

UnderlyStrikeSens:

0.525123

TimeFormat

Days

59

UnderlyImpliedStrike:

70.300777

60

OptionStrikeSens:

-0.525123

61

OptionImpliedStrike:

3.199221

Chooser

Complex Chooser

Compound

Executive

Forward Start

Time Switch

Writer Extendible