CashOrNothingTA

(OptionType, ModelStatistic, Asset1, Asset2, Strike1, Strike2, Payout, TimeExpire, Volatility1, Volatility2, InterestRate, YieldRate1, YieldRate2, Correlation, MarketPrice, TimeFormat, InterestType, YieldRate1Type, YieldRate2Type)

Argument

Description

OptionType

Alphanumeric value indicating the type of option:

•Call = 1 or "c" (case insensitive)

•Put = 2 or "p" (case insensitive)

•Up_Down = 3 or "u" (case insensitive)

•Down_Up = 4 or "d" (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

•StrikeSens1 = 44

•ImpliedStrike1 = 45

•StrikeSens2 = 46

•ImpliedStrike2 = 47

•Chi = 48

•ImpliedCorr = 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.

Payout

The amount paid at expiration if the option is in the money. 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 YieldRate1Type 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 YieldType argument.

Correlation

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

Must be -1 < Correlation < 1.

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.

YieldRate1Type

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.

YieldRate2Type

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 two-asset cash-or-nothing call where the option is 225 days from expiration, the first asset price is $83, the second asset price is $90, the first exercise price is $80, the second exercise price is $85, the payoff is $5, the risk-free interest rate is 8% per annum, the yield rate of the first and second assets are both 6% per annum, the correlation is 0.5, the annual volatility of the first asset is 25%, and the annual volatility of the second asset is 20%. All of the rates are considered continuous. So,

Input

Output

Variable

Value

Function

Name

Value

OptionType

Call

1

Theoretical:

2.082812

Asset1:

83

4

Theta:

0.001741

Asset2:

90

7

Rho:

0.058231

Strike1:

80

30

Delta Asset 1:

0.072603

Strike2:

85

31

Delta Asset 2:

0.061145

Payoff:

5

32

Gamma 1:

-0.003094

TimeExpire

225

33

Gamma 2:

-0.004302

Volatility1:

25%

34

Implied Vol. 1:

0.307022

Volatility2:

20%

35

Implied Vol. 2:

0.241502

InterestRate

8%

36

Vega Vol. 1:

-0.016489

YieldRate1:

6%

37

Vega Vol. 2:

-0.022512

YieldRate2:

6%

38

Psi Yield 1:

-0.037147

Correlation:

0.5

39

Psi Yield 2:

-0.033923

MarketPrice:

2

42

Lambda 1:

2.893245

TimeFormat

Days

43

Lambda 2:

2.642146

44

Strike Sens 1:

-0.075326

45

Implied Strike 1:

81.089004

46

Strike Sens 2:

-0.064742

47

Implied Strike 2:

86.241444

48

Chi:

0.818114

50

Implied Corr:

0.395642

Asset or Nothing

Cash or Nothing

Gap

Supershare

Binary Barrier