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@FUNCTION=CUM_BIV_NORM_DIST 
@SYNTAX=CUM_BIV_NORM_DIST(a,b,rho)
@DESCRIPTION=CUM_BIV_NORM_DIST calculates the cumulative bivariate normal distribution from parameters a, b & rho.
The return value is the probability that two random variables with correlation @rho are respectively each less than @a and @b.
@EXAMPLES=
@SEEALSO=NORMDIST,NORMSDIST,NORMSINV |
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represents a line break.
Start a new line in the equivalent position in the translation.
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@FUNCTION=CUM_BIV_NORM_DIST
@SYNTAX=CUM_BIV_NORM_DIST(a,b,ro)
@DESCRIPTION=CUM_BIV_NORM_DIST calcula la distribución acumulada bivariada normal colos parámetros a, b y ro.
El valor devueltu ye la probabilidá de que dos variables al debalu con correllación @ro seyan respectivamente cada una menor que @a y @b
@EXAMPLES=
@SEEALSO=NORMDIST,NORMSDIST,NORMSINV |
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Translated and reviewed by
costales
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2.
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@FUNCTION=OPT_BS
@SYNTAX=OPT_BS(call_put_flag,spot,strike,time,rate,volatility [,cost_of_carry])
@DESCRIPTION=OPT_BS uses the Black-Scholes model to calculate the price of a European option using call_put_flag, @call_put_flag, 'c' or 'p' struck at @strike on an asset with spot price @spot.
@time is the time to maturity of the option expressed in years.
@rate is the risk-free interest rate.
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
* The returned value will be expressed in the same units as @strike and @spot.
@EXAMPLES=
@SEEALSO=OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_VEGA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_BS
@SYNTAX=OPT_BS(indicador_call_put,spot,strike,tiempu,tasa,volatilidá [,devaluación])
@DESCRIPTION=OPT_BS usa'l modelu Black-Scholes pa calcular el preciu d'una opción Europea usando call/put fixada un preciu @strike nun activu con preciu @spot.
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
@tiempu ye'l tiempu pal vencimientu de la opción espresáu n'años
@tasa ye la tasa d'interés llibre de riesgu.
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu o'l períodu fasta la fecha del exerciciu.
@devaluación ye la pérdida de valor del activu subyacente, pa stock comunes, esto debería ser el marxe (yield) del dividendu
* El valor devueltu será espresáu nes mesmes unidaes que @strike y @spot.
@EXAMPLES=
@SEEALSO=OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_VEGA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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3.
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@FUNCTION=OPT_BS_DELTA
@SYNTAX=OPT_BS_DELTA(call_put_flag,spot,strike,time,rate,volatility[,cost_of_carry])
@DESCRIPTION=OPT_BS_DELTA uses the Black-Scholes model to calculate the 'delta' of a European option with call_put_flag, @call_put_flag, 'c' or 'p' struck at @strike on an asset with spot price @spot.
Where @time is the time to maturity of the option expressed in years.
@rate is the risk-free interest rate.
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
* The returned value will be expressed in the same units as @strike and @spot.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_VEGA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_BS_DELTA
@SYNTAX=OPT_BS_DELTA(indicador_call_put,spot,strike,tiempu,tasa,volatilidá[,devaluación])
@DESCRIPTION=OPT_BS_DELTA usa'l modelu Black-Scholes pa calcular la «delta» d'una opción europea con call/put fixada nun preciu @strike nun activu con preciu @spot.
(La «delta» d'una opción ye la tasa de cambiu del so preciu respeuto al preciu spot del activu subyacente.)
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
@tiempu ye'l tiempu pal vencimientu de la opción espresáu n'años
@tasa ye la tasa d'interés llibre de riesgu.
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu o'l períodu fasta la fecha del exerciciu.
@devaluación ye la pérdida de valor del activu subyacente, pa stock comunes, esto debería ser el marxe (yield) del dividendu
* El valor devueltu será espresáu nes mesmes unidaes que @strike y @spot.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_VEGA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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4.
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@FUNCTION=OPT_BS_GAMMA
@SYNTAX=OPT_BS_GAMMA(spot,strike,time,rate,volatility[,cost_of_carry])
@DESCRIPTION=OPT_BS_GAMMA uses the Black-Scholes model to calculate the 'gamma' of a European option struck at @strike on an asset with spot price @spot.
(The gamma of an option is the second derivative of its price with respect to the price of the underlying asset, and is the same for calls and puts.)
@time is the time to maturity of the option expressed in years.
@rate is the risk-free interest rate to the exercise date, in percent.
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
* The returned value will be expressed as the rate of change of delta per unit change in @spot.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_VEGA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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@FUNCTION=OPT_BS_GAMMA
@SYNTAX=OPT_BS_GAMMA(spot,strike,tiempu,tasa,volatilidá[,devaluación])
@DESCRIPTION=OPT_BS_GAMMA usa'l modelu Black-Scholes pa calcular la «gamma» d'una opción europea fixada a @strike nun activu con preciu @spot.
(La «gamma» d'una opción ye la derivada segunda del so preciu respeuto al preciu del activu subyacente, y ye'l mesmo pa calls y puts.)
@tiempu ye'l tiempu pal vencimientu de la opción espresáu n'años
@tasa ye la tasa d'interés llibre de riesgu a fecha del exerciciu, en tantu por cientu.
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu o'l períodu fasta la fecha del exerciciu.
@devaluación ye la pérdida de valor del activu subyacente, pa stock comunes, esto debería ser el marxe (yield) del dividendu
* El valor devueltu será espresáu nes mismes unidaes que @strike y @spot.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_VEGA |
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Translated and reviewed by
costales
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5.
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@FUNCTION=OPT_BS_THETA
@SYNTAX=OPT_BS_THETA(call_put_flag,spot,strike,time,rate,volatility[,cost_of_carry])
@DESCRIPTION=OPT_BS_THETA uses the Black-Scholes model to calculate the 'theta' of a European option with call_put_flag, @call_put_flag struck at @strike on an asset with spot price @spot.
(The theta of an option is the rate of change of its price with respect to time to expiry.)
@time is the time to maturity of the option expressed in years
and @rate is the risk-free interest rate to the exercise date, in percent.
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
* The returned value will be expressed as minus the rate of change of option value, per 365.25 days.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_VEGA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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@FUNCTION=OPT_BS_THETA
@SYNTAX=OPT_BS_THETA(indicador_call_put,spot,strike,tiempu,tasa,volatilidá[,devaluación])
@DESCRIPTION=OPT_BS_THETA usa'l modelu Black-Scholes pa calcular la «theta» d'una opción europea con call/put fixada a preciu @strike nun activu con preciu @spot.
(La «theta» d'una opción ye la tasa de cambiu del preciu respeuto al la fecha d'espiración.)
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
@tiempu ye'l tiempu pal vencimientu de la opción espresáu n'años
@tasa ye la tasa d'interés llibre de riesgu a fecha del exerciciu, en tantu por cientu.
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu o'l períodu fasta la fecha del exerciciu.
@devaluación ye la pérdida de valor del activu subyacente, pa «stocks» comunes, esto debería ser el marxe (yield) del dividendu
* El valor devueltu será espresáu como menos la tasa de cambiu del valor de la opción, por 365,25 díes.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_VEGA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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Easy fix
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6.
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@FUNCTION=OPT_BS_VEGA
@SYNTAX=OPT_BS_VEGA(spot,strike,time,rate,volatility[,cost_of_carry])
@DESCRIPTION=OPT_BS_VEGA uses the Black-Scholes model to calculate the 'vega' of a European option struck at @strike on an asset with spot price @spot.
(The vega of an option is the rate of change of its price with respect to volatility, and is the same for calls and puts.)
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date.
@time is the time to maturity of the option expressed in years.
@rate is the risk-free interest rate to the exercise date, in percent.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
* The returned value will be expressed as the rate of change of option value, per 100% volatility.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_BS_VEGA
@SYNTAX=OPT_BS_VEGA(spot,strike,tiempu,tasa,volatilidá[,devaluación])
@DESCRIPTION=OPT_BS_VEGA usa'l modelu Black-Scholes pa calcular la «vega» d'una opción europea fixada a @strike nun activu con preciu @spot.
(La «vega» d'una opción ye la tasa de cambiu del to preciu respeuto a la volatilidá, y ye la mesma pa calls (compras) y puts. (ventes))
@tiempu ye'l tiempu pal vencimientu de la opción espresáu n'años
@tasa ye la tasa d'interés llibre de riesgu.
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu o'l períodu fasta la fecha del exerciciu.
@devaluación ye la pérdida de valor del activu subyacente, pa stock comunes, esto debería ser el marxe (yield) del dividendu
* El valor devueltu será espresáu como la tasa de cambiu del valor de la opción, por 100% de volatilidá.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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7.
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@FUNCTION=OPT_BS_RHO
@SYNTAX=OPT_BS_RHO(call_put_flag,spot,strike,time,rate,volatility[,cost_of_carry])
@DESCRIPTION=OPT_BS_RHO uses the Black-Scholes model to calculate the 'rho' of a European option with call_put_flag, @call_put_flag struck at @strike on an asset with spot price @spot.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
(The rho of an option is the rate of change of its price with respect to the risk free interest rate.)
@time is the time to maturity of the option expressed in years.
@rate is the risk-free interest rate to the exercise date, in percent.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
* The returned value will be expressed as the rate of change of option value, per 100% change in @rate.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_THETA, OPT_BS_VEGA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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@FUNCTION=OPT_BS_RHO
@SYNTAX=OPT_BS_RHO(indicador_call_put,spot,strike,tiempu,tasa,volatilidá[,devaluación])
@DESCRIPTION=OPT_BS_RHO usa'l modelu Black-Scholes pa calcular la «ro» d'una opción europea con marca call / put, @indicador_call_put fixada a un preciu @strike nun activu con preciu @spot.
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
(La «ro» d'una opción ye la tasa de cambiu del to preciu respeuto a la tasa d'interés llibre de riesgu.)
@tiempu ye'l tiempu pal vencimientu de la opción espresáu n'años
@tasa ye la tasa d'interés llibre de riesgu a la fecha del exerciciu, en tantu por cientu.
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu o'l períodu fasta la fecha del exerciciu.
@devaluación ye la pérdida de valor del activu subyacente, pa stocks comunes, esto debería ser el marxe (yield) del dividendu
* El valor devueltu será espresáu como la tasa de cambiu del valor de la opción, pol 100% de cambiu en @tasa.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_THETA, OPT_BS_VEGA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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8.
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@FUNCTION=OPT_BS_CARRYCOST
@SYNTAX=OPT_BS_CARRYCOST(call_put_flag,spot,strike,time,rate,volatility[,cost_of_carry])
@DESCRIPTION=OPT_BS_CARRYCOST uses the Black-Scholes model to calculate the 'elasticity' of a European option struck at @strike on an asset with spot price @spot.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
(The elasticity of an option is the rate of change of its price with respect to its cost of carry.)
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date. @time is the time to maturity of the option expressed in years.
@rate is the risk-free interest rate to the exercise date, in percent.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
* The returned value will be expressed as the rate of change of option value, per 100% volatility.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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@FUNCTION=OPT_BS_CARRYCOST
@SYNTAX=OPT_BS_CARRYCOST(indicador_call_put,spot,strike,tiempu,tasa,volatilidá[,devaluación])
@DESCRIPTION=OPT_BS_CARRYCOST usa'l modelu Black-Scholes pa calcular la «elasticidá» d'una opción europea fixada a @strike nun activu con preciu @spot.
(La elasticidá d'una opción ye la tasa de cambiu del to preciu respeuto al so coste d'execución.)
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
@tiempu ye'l tiempu pal vencimientu de la opción espresáu n'años
@tasa ye la tasa d'interés llibre de riesgu a la fecha del exerciciu, en tantu por cientu.
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu o'l períodu fasta la fecha del exerciciu.
@devaluación ye la pérdida de valor del activu subyacente, pa stock comunes, esto debería ser el marxe (yield) del dividendu
* El valor devueltu será espresáu como la tasa de cambiu del valor de la opción, por 100% de volatilidá.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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9.
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@FUNCTION=OPT_GARMAN_KOHLHAGEN
@SYNTAX=OPT_GARMAN_KOHLHAGEN(call_put_flag,spot,strike,time,domestic_rate,foreign_rate,volatility[,cost_of_carry])
@DESCRIPTION=OPT_GARMAN_KOHLHAGEN values the theoretical price of a European currency option struck at @strike on an asset with spot price @spot.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date.
@time the number of days to exercise.
@domestic_rate is the domestic risk-free interest rate to the exercise date.
@foreign_rate is the foreign risk-free interest rate to the exercise date, in percent.
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
* The returned value will be expressed as the rate of change of option value, per 100% volatility.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_GARMAN_KOHLHAGEN
@SYNTAX=OPT_GARMAN_KOHLHAGEN(indicador_call_put,spot,strike,tiempu,tasa_nacional,tasa_estranxera,volatilidá[,devaluación])
@DESCRIPTION=OPT_GARMAN_KOHLHAGEN valora'l preciu teóricu d'una opción sobro divises europees fixada a @strike nun activu con preciu @spot.
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
@tiempu ye'l tiempu pal vencimientu de la opción espresáu n'años
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu o'l períodu fasta la fecha del exerciciu.
@tasa_nacional ye la tasa d'interés nacional llibre de riesgu a fecha del exerciciu
@tasa_estranxera ye la tasa d'interés estranxera llibre de riesgu a fecha del exerciciu
@devaluación ye la pérdida de valor del activu subyacente, pa stock comunes, esto debería ser el marxe (yield) del dividendu
* El valor devueltu estará espresáu como tasa de cambiu del valor de la opción, por 100% de volatilidá.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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10.
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@FUNCTION=OPT_FRENCH
@SYNTAX=OPT_FRENCH(call_put_flag,spot,strike,time,t2,rate,volatility[,cost_of_carry])
@DESCRIPTION=OPT_FRENCH values the theoretical price of a European option adjusted for trading day volatility, struck at @strike on an asset with spot price @spot.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date.
@time the number of calendar days to exercise divided by calendar days in the year.
@t2 is the number of trading days to exercise divided by trading days in the year.
@rate is the risk-free interest rate.
@cost_of_carry is the leakage in value of the underlying asset, to the exercise date, in percent.
For common stocks, this would be the dividend yield.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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represents a line break.
Start a new line in the equivalent position in the translation.
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represents a space character.
Enter a space in the equivalent position in the translation.
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@FUNCTION=OPT_FRENCH
@SYNTAX=OPT_FRENCH(indicador_call_put,spot,strike,tiempu,t2,tasa,volatilidá[,devaluación])
@DESCRIPTION=OPT_FRENCH valora'l preciu teóricu d'una opción europea axustada a la volatilidá del día de la transaición, fixada a @strike nun activu con preciu @spot.
@indicador_call_put ye «c» o «p» dependiendo de si la opción ye «call» o «put»
@volatilidá ye la volatilidá anualizada, en porcentaxe, del activu o'l períodu fasta la fecha del exerciciu.
@tiempu ye'l númberu de díes de calendariu pal exerciciu dividíu ente'l númberu de díes de calendariu del añu.
@t2 ye'l númberu de díes comerciales pal exerciciu dividios ente'l númberu de díes comerciales nel añu
@tasa ye la tasa d'interés llibre de riesgu a la fecha del exerciciu, en tantu por cientu.
@devaluación ye la pérdida de valor del activu subyacente, pa stock comunes, esto debería ser el marxe (yield) del dividendu a fecha del exerciciu, en tantu por cientu
Para stocks comunes, esto debería ser el marxe de dividendu.
@EXAMPLES=
@SEEALSO=OPT_BS, OPT_BS_DELTA, OPT_BS_RHO, OPT_BS_THETA, OPT_BS_GAMMA |
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Translated and reviewed by
costales
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