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@FUNCTION=CUM_BIV_NORM_DIST ![](/@@/translation-newline)
@SYNTAX=CUM_BIV_NORM_DIST(a,b,rho) ![](/@@/translation-newline)
@DESCRIPTION=CUM_BIV_NORM_DIST calculates the cumulative bivariate normal distribution from parameters a, b & rho. ![](/@@/translation-newline)
The return value is the probability that two random variables with correlation @rho are respectively each less than @a and @b.
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@EXAMPLES=
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@SEEALSO=NORMDIST,NORMSDIST,NORMSINV
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2.
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@FUNCTION=OPT_BS ![](/@@/translation-newline)
@SYNTAX=OPT_BS(call_put_flag,spot,strike,time,rate,volatility [,cost_of_carry]) ![](/@@/translation-newline)
@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. ![](/@@/translation-newline)
@time is the time to maturity of the option expressed in years. ![](/@@/translation-newline)
@rate is the risk-free interest rate. ![](/@@/translation-newline)
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date. ![](/@@/translation-newline)
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield. ![](/@@/translation-newline)
* The returned value will be expressed in the same units as @strike and @spot.
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@EXAMPLES=
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@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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(no translation yet)
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3.
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@FUNCTION=OPT_BS_DELTA ![](/@@/translation-newline)
@SYNTAX=OPT_BS_DELTA(call_put_flag,spot,strike,time,rate,volatility[,cost_of_carry]) ![](/@@/translation-newline)
@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. ![](/@@/translation-newline)
Where @time is the time to maturity of the option expressed in years. ![](/@@/translation-newline)
@rate is the risk-free interest rate. ![](/@@/translation-newline)
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date. ![](/@@/translation-newline)
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield. ![](/@@/translation-newline)
* The returned value will be expressed in the same units as @strike and @spot.
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@EXAMPLES=
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@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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(no translation yet)
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4.
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@FUNCTION=OPT_BS_GAMMA ![](/@@/translation-newline)
@SYNTAX=OPT_BS_GAMMA(spot,strike,time,rate,volatility[,cost_of_carry]) ![](/@@/translation-newline)
@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.
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(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.)
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@time is the time to maturity of the option expressed in years. ![](/@@/translation-newline)
@rate is the risk-free interest rate to the exercise date, in percent. ![](/@@/translation-newline)
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date. ![](/@@/translation-newline)
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield. ![](/@@/translation-newline)
* The returned value will be expressed as the rate of change of delta per unit change in @spot.
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@EXAMPLES=
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@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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(no translation yet)
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5.
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@FUNCTION=OPT_BS_THETA ![](/@@/translation-newline)
@SYNTAX=OPT_BS_THETA(call_put_flag,spot,strike,time,rate,volatility[,cost_of_carry]) ![](/@@/translation-newline)
@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.
![](/@@/translation-newline)
(The theta of an option is the rate of change of its price with respect to time to expiry.)
![](/@@/translation-newline)
@time is the time to maturity of the option expressed in years ![](/@@/translation-newline)
and @rate is the risk-free interest rate to the exercise date, in percent. ![](/@@/translation-newline)
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date. ![](/@@/translation-newline)
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield. ![](/@@/translation-newline)
* The returned value will be expressed as minus the rate of change of option value, per 365.25 days.
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@EXAMPLES=
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@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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(no translation yet)
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6.
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@FUNCTION=OPT_BS_VEGA ![](/@@/translation-newline)
@SYNTAX=OPT_BS_VEGA(spot,strike,time,rate,volatility[,cost_of_carry]) ![](/@@/translation-newline)
@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. ![](/@@/translation-newline)
(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.) ![](/@@/translation-newline)
@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. ![](/@@/translation-newline)
@rate is the risk-free interest rate to the exercise date, in percent. ![](/@@/translation-newline)
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
![](/@@/translation-newline)
* The returned value will be expressed as the rate of change of option value, per 100% volatility.
![](/@@/translation-newline)
@EXAMPLES=
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@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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(no translation yet)
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7.
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@FUNCTION=OPT_BS_RHO ![](/@@/translation-newline)
@SYNTAX=OPT_BS_RHO(call_put_flag,spot,strike,time,rate,volatility[,cost_of_carry]) ![](/@@/translation-newline)
@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. ![](/@@/translation-newline)
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
![](/@@/translation-newline)
(The rho of an option is the rate of change of its price with respect to the risk free interest rate.) ![](/@@/translation-newline)
@time is the time to maturity of the option expressed in years. ![](/@@/translation-newline)
@rate is the risk-free interest rate to the exercise date, in percent. ![](/@@/translation-newline)
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield. ![](/@@/translation-newline)
* The returned value will be expressed as the rate of change of option value, per 100% change in @rate.
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@EXAMPLES=
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@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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(no translation yet)
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8.
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@FUNCTION=OPT_BS_CARRYCOST ![](/@@/translation-newline)
@SYNTAX=OPT_BS_CARRYCOST(call_put_flag,spot,strike,time,rate,volatility[,cost_of_carry]) ![](/@@/translation-newline)
@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. ![](/@@/translation-newline)
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
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(The elasticity of an option is the rate of change of its price with respect to its cost of carry.)
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@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. ![](/@@/translation-newline)
@rate is the risk-free interest rate to the exercise date, in percent. ![](/@@/translation-newline)
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield.
![](/@@/translation-newline)
* The returned value will be expressed as the rate of change of option value, per 100% volatility.
![](/@@/translation-newline)
@EXAMPLES=
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@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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(no translation yet)
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9.
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@FUNCTION=OPT_GARMAN_KOHLHAGEN ![](/@@/translation-newline)
@SYNTAX=OPT_GARMAN_KOHLHAGEN(call_put_flag,spot,strike,time,domestic_rate,foreign_rate,volatility[,cost_of_carry]) ![](/@@/translation-newline)
@DESCRIPTION=OPT_GARMAN_KOHLHAGEN values the theoretical price of a European currency option struck at @strike on an asset with spot price @spot. ![](/@@/translation-newline)
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put. ![](/@@/translation-newline)
@volatility is the annualized volatility, in percent, of the asset for the period through to the exercise date. ![](/@@/translation-newline)
@time the number of days to exercise. ![](/@@/translation-newline)
@domestic_rate is the domestic risk-free interest rate to the exercise date. ![](/@@/translation-newline)
@foreign_rate is the foreign risk-free interest rate to the exercise date, in percent. ![](/@@/translation-newline)
@cost_of_carry is the leakage in value of the underlying asset, for common stocks, this would be the dividend yield. ![](/@@/translation-newline)
* The returned value will be expressed as the rate of change of option value, per 100% volatility.
![](/@@/translation-newline)
@EXAMPLES=
![](/@@/translation-newline)
@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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(no translation yet)
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10.
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@FUNCTION=OPT_FRENCH ![](/@@/translation-newline)
@SYNTAX=OPT_FRENCH(call_put_flag,spot,strike,time,t2,rate,volatility[,cost_of_carry]) ![](/@@/translation-newline)
@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. ![](/@@/translation-newline)
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put. ![](/@@/translation-newline)
@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. ![](/@@/translation-newline)
@t2 is the number of trading days to exercise divided by trading days in the year. ![](/@@/translation-newline)
@rate is the risk-free interest rate. ![](/@@/translation-newline)
@cost_of_carry is the leakage in value of the underlying asset, to the exercise date, in percent. ![](/@@/translation-newline)
For common stocks, this would be the dividend yield.
![](/@@/translation-newline)
@EXAMPLES=
![](/@@/translation-newline)
@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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(no translation yet)
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