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12.
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@FUNCTION=OPT_MILTERSEN_SCHWARTZ
@SYNTAX=OPT_MILTERSEN_SCHWARTZ(call_put_flag,p_t,f_t,x,t1,t2,v_s,v_e,v_f,rho_se,rho_sf,rho_ef,kappa_e,kappa_f)
@DESCRIPTION=OPT_MILTERSEN_SCHWARTZ models the theoretical price of options on commodities futures according to Miltersen & Schwartz.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@p_t is a zero coupon bond with expiry at option maturity.
@f_t is the futures price.
@x is the strike price.
@t1 is the time to maturity of the option.
@t2 is the time to maturity of the underlying commodity futures contract.
@v_s is the volatility of the spot commodity price.
@v_e is the volatility of the future convenience yield.
@v_f is the volatility of the forward rate of interest.
@rho_se is correlation between the spot commodity price and the convenience yield.
@rho_sf is correlation between the spot commodity price and the forward interest rate.
@rho_ef is correlation between the forward interest rate and the convenience yield.
@kappa_e is the speed of mean reversion of the convenience yield.
@kappa_f is the speed of mean reversion of the forward interest rate.
@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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(no translation yet)
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Translated and reviewed by
Gerson "fserve" Barreiros
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19.
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@FUNCTION=OPT_SIMPLE_CHOOSER
@SYNTAX=OPT_SIMPLE_CHOOSER(call_put_flag,spot,strike,time1,time2,rate,cost_of_carry,volatility)
@DESCRIPTION=OPT_SIMPLE_CHOOSER models the theoretical price of simple chooser options.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot is the spot price of the underlying asset.
@strike is the strike price at which the option is struck.
@time1 is the time in years until the holder chooses a put or a call option.
@time2 is the time in years until the chosen option expires.
@rate is the annualized risk-free rate of interest.
@cost_of_carry is the leakage in value of the underlying asset, 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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(no translation yet)
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Translated and reviewed by
Gerson "fserve" Barreiros
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35.
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@FUNCTION=IMINV
@SYNTAX=IMINV(inumber)
@DESCRIPTION=IMINV returns the inverse, or reciprocal, of the complex number z (@inumber), where
[tab] 1/z = (x - i y)/(x^2 + y^2).
* If @inumber is not a valid complex number, IMINV returns #VALUE! error.
@EXAMPLES=
IMINV("1-j") equals 0.5+0.5j.
@SEEALSO=
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[tab] represents a tab character.
Please write it exactly the same way, [tab] , in your
translation.
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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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Translated and reviewed by
Gerson "fserve" Barreiros
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566.
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@FUNCTION=LARGE
@SYNTAX=LARGE(n, k)
@DESCRIPTION=LARGE returns the k-th largest value in a data set.
* If data set is empty LARGE returns #NUM! error.
* If @k <= 0 or @k is greater than the number of data items given LARGE returns #NUM! error.
* This function is Excel compatible.
@EXAMPLES=
Let us assume that the cells A1, A2, ..., A5 contain numbers 11.4, 17.3, 21.3, 25.9, and 40.1. Then
LARGE(A1:A5,2) equals 25.9.
LARGE(A1:A5,4) equals 17.3.
@SEEALSO=PERCENTILE,PERCENTRANK,QUARTILE,SMALL
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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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Translated and reviewed by
Gerson "fserve" Barreiros
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567.
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@FUNCTION=SMALL
@SYNTAX=SMALL(n, k)
@DESCRIPTION=SMALL returns the k-th smallest value in a data set.
* If data set is empty SMALL returns #NUM! error.
* If @k <= 0 or @k is greater than the number of data items given SMALL returns #NUM! error.
* This function is Excel compatible.
@EXAMPLES=
Let us assume that the cells A1, A2, ..., A5 contain numbers 11.4, 17.3, 21.3, 25.9, and 40.1. Then
SMALL(A1:A5,2) equals 17.3.
SMALL(A1:A5,4) equals 25.9.
@SEEALSO=PERCENTILE,PERCENTRANK,QUARTILE,LARGE
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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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Translated and reviewed by
Gerson "fserve" Barreiros
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629.
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@FUNCTION=interpolation
@SYNTAX=interpolation(abscissas,ordinates,targets[,interpolation])
@DESCRIPTION=
interpolation returns interpolated values corresponding
to the given abscissa targets as a one column matrix.
@abscissas are the absicssas of the data to interpolate.
@ordinates are the ordinates of the data to interpolate.
* Strings and empty cells in @abscissas and @ordinates are simply ignored.
@targets are the abscissas of the interpolated data. If several data
are provided, they must be in the same column, in consecutive cells
@interpolation is the method to be used for the interpolation;
possible values are:
- 0: linear;
- 1: linear with averaging;
- 2: staircase;
- 3: staircase with averaging;
- 4: natural cubic spline;
- 5: natural cubic spline with averaging.
If an averaging method is used, the number of returned values
is one less than the number of targets since the evaluation is made by
averaging the interpolation over the interval between two consecutive data;
in that case, the targets values must be given in increasing order.
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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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Translated and reviewed by
Gerson "fserve" Barreiros
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630.
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@FUNCTION=periodogram
@SYNTAX=periodogram(ordinates,[filter,[abscissas,[interpolation,[number]]]])
@DESCRIPTION=
periodogram returns the periodogram of the data
as a one column matrix.
@ordinates are the ordinates of the data to interpolate.
@filter gives the window function to be used. Possible values are:
- 0: no filter (rectangular window);
- 1: Bartlett (triangular window);
- 2: Hahn (cosine window);
- 3: Welch (parabolic window);
@abscissas are the absicssas of the data to interpolate. If no
abscissa is given, it is supposed that the data absicssas are regularly
spaced. Otherwise, an interpolation method will be used to evaluate
regularly spaced data.
* Strings and empty cells in @abscissas and @ordinates are simply ignored.
@interpolation is the method to be used for the interpolation;
possible values are:
- 0: linear;
- 1: linear with averaging;
- 2: staircase;
- 3: staircase with averaging;
- 4: natural cubic spline;
- 5: natural cubic spline with averaging.
@number is the number of interpolated data to be used. If not given,
a default number is automatically evaluated.
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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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Translated and reviewed by
Gerson "fserve" Barreiros
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