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1.
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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,rho)
@DESCRIPTION=CUM_BIV_NORM_DIST počíta kumulatívne bivariatenormálne rozloženie pre paramtre a, b a rho
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Translated and reviewed by
Stanislav Visnovsky
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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_call
@SYNTAX=opt_bs_call(zaciatok,cena,životnosť,dní_do_splatnosti,úrok)
@DESCRIPTION=Používa Black-Scholesov model pre výpočet ceny európskej call opcie @zaciatok na majetok s cenou @cena. @životnosť je ročná v percentách z cena za dané obdobie. @dní_do_splatnosti je počet dní do splatnosti @úrok je úrok do dňa splatnosti v percentách.
Vrátená hodnota bude v rovnakých jednotkách ako @zaciatok a @cena.
@EXAMPLES=
@SEEALSO=opt_bs_put, opt_bs_call_delta, opt_bs_put_delta opt_bs_call_rho, opt_bs_put_rho, opt_bs_call_theta, opt_bs_put_theta, opt_bs_vega, opt_bs_gamma
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Translated and reviewed by
Stanislav Visnovsky
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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_put_delta
@SYNTAX=opt_bs_put_delta(zaciatok,cena,životnosť,dní_do_splatnosti,úrok)
@DESCRIPTION=Používa Black-Scholesov model pre výpočet ceny európskej put opcie @zaciatok na majetok s cenou @cena. (Delta opcie je rýchlosť zmeny ceny s ohľadom na cenu majetku.)
@životnosť je ročná v percentách z cena za dané obdobie. @dní_do_splatnosti je počet dní do splatnosti @úrok je úrok do dňa splatnosti v percentách.
Vrátená hodnota bude v rýchlosť zmeny hodnoty za zmenu jednotky v @cena.
@EXAMPLES=
@SEEALSO=opt_bs_call, opt_bs_put, opt_bs_call_delta, opt_bs_call_rho, opt_bs_put_rho, opt_bs_call_theta, opt_bs_put_theta, opt_bs_vega, opt_bs_gamma
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Translated and reviewed by
Stanislav Visnovsky
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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(zaciatok,cena,životnosť,dní_do_splatnosti,úrok)
@DESCRIPTION=Používa Black-Scholesov model pre výpočet "gamma" európskej opcie @zaciatok na majetok s cenou @cena. (Gamma opcie je druhá derivácia jej ceny s ohľadom cenu majetku a je rovnaká pre call aj put.)
@životnosť je ročná v percentách z cena za dané obdobie. @dní_do_splatnosti je počet dní do splatnosti @úrok je úrok do dňa splatnosti v percentách.
Vrátená hodnota bude v rýchlosť zmeny hodnoty za zmenu delta v @cena.
@EXAMPLES=
@SEEALSO=opt_bs_call, opt_bs_put, opt_bs_call_delta, opt_bs_put_delta, opt_bs_call_rho, opt_bs_put_rho, opt_bs_put_theta, opt_bs_call_theta, opt_bs_vega
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Translated and reviewed by
Stanislav Visnovsky
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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_put_theta
@SYNTAX=opt_bs_call_put(zaciatok,cena,životnosť,dní_do_splatnosti,úrok)
@DESCRIPTION=Používa Black-Scholesov model pre výpočet "theta" európskej put opcie @zaciatok na majetok s cenou @cena. (Theta opcie je rýchlosť zmeny ceny s ohľadom na dátum splatnosti.)
@životnosť je ročná v percentách z cena za dané obdobie. @dní_do_splatnosti je počet dní do splatnosti @úrok je úrok do dňa splatnosti v percentách.
Vrátená hodnota bude ako mínusová percentuálna zmena hodnoty za jeden rok (365.25 dní).
@EXAMPLES=
@SEEALSO=opt_bs_call, opt_bs_put, opt_bs_call_delta, opt_bs_put_delta, opt_bs_call_rho, opt_bs_put_rho, opt_bs_call_theta, opt_bs_vega, opt_bs_gamma
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Translated and reviewed by
Stanislav Visnovsky
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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(zaciatok,cena,životnosť,dní_do_splatnosti,úrok)
@DESCRIPTION=Používa Black-Scholesov model pre výpočet "vega" európskej opcie @zaciatok na majetok s cenou @cena. (Vega opcie je rýchlosť zmeny ceny s ohľadom na živostnosť a je rovnaká pre call aj put.)
@životnosť je ročná v percentách z cena za dané obdobie. @dní_do_splatnosti je počet dní do splatnosti @úrok je úrok do dňa splatnosti v percentách.
Vrátená hodnota bude v rýchlosť zmeny hodnoty za 100% živostnosti.
@EXAMPLES=
@SEEALSO=opt_bs_call, opt_bs_put, opt_bs_call_delta, opt_bs_put_delta, opt_bs_call_rho, opt_bs_put_rho, opt_bs_put_theta, opt_bs_call_theta, opt_bs_gamma
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Translated and reviewed by
Stanislav Visnovsky
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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_put_rho
@SYNTAX=opt_bs_put_rho(zaciatok,cena,životnosť,dní_do_splatnosti,úrok)
@DESCRIPTION=Používa Black-Scholesov model pre výpočet "rho" európskej put opcie @zaciatok na majetok s cenou @cena. (Rho opcie je rýchlosť zmeny ceny s ohľadom na úrokovú mieru.)
@životnosť je ročná v percentách z cena za dané obdobie. @dní_do_splatnosti je počet dní do splatnosti @úrok je úrok do dňa splatnosti v percentách.
Vrátená hodnota bude zmena hodnoty opcie na 100% zmeny v @úrok.
@EXAMPLES=
@SEEALSO=opt_bs_call, opt_bs_put, opt_bs_call_delta, opt_bs_put_delta, opt_bs_call_rho, opt_bs_call_theta, opt_bs_put_theta, opt_bs_vega, opt_bs_gamma
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Translated and reviewed by
Stanislav Visnovsky
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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_vega
@SYNTAX=opt_bs_vega(zaciatok,cena,životnosť,dní_do_splatnosti,úrok)
@DESCRIPTION=Používa Black-Scholesov model pre výpočet "vega" európskej opcie @zaciatok na majetok s cenou @cena. (Vega opcie je rýchlosť zmeny ceny s ohľadom na živostnosť a je rovnaká pre call aj put.)
@životnosť je ročná v percentách z cena za dané obdobie. @dní_do_splatnosti je počet dní do splatnosti @úrok je úrok do dňa splatnosti v percentách.
Vrátená hodnota bude v rýchlosť zmeny hodnoty za 100% živostnosti.
@EXAMPLES=
@SEEALSO=opt_bs_call, opt_bs_put, opt_bs_call_delta, opt_bs_put_delta, opt_bs_call_rho, opt_bs_put_rho, opt_bs_put_theta, opt_bs_call_theta, opt_bs_gamma
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Translated and reviewed by
Stanislav Visnovsky
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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_bs_call
@SYNTAX=opt_bs_call(zaciatok,cena,životnosť,dní_do_splatnosti,úrok)
@DESCRIPTION=Používa Black-Scholesov model pre výpočet ceny európskej call opcie @zaciatok na majetok s cenou @cena. @životnosť je ročná v percentách z cena za dané obdobie. @dní_do_splatnosti je počet dní do splatnosti @úrok je úrok do dňa splatnosti v percentách.
Vrátená hodnota bude v rovnakých jednotkách ako @zaciatok a @cena.
@EXAMPLES=
@SEEALSO=opt_bs_put, opt_bs_call_delta, opt_bs_put_delta opt_bs_call_rho, opt_bs_put_rho, opt_bs_call_theta, opt_bs_put_theta, opt_bs_vega, opt_bs_gamma
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Translated and reviewed by
Stanislav Visnovsky
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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_bs_put
@SYNTAX=opt_bs_put(zaciatok,cena,životnosť,dní_do_splatnosti,úrok)
@DESCRIPTION=Používa Black-Scholesov model pre výpočet ceny európskej put opcie @zaciatok na majetok s cenou @cena. @životnosť je ročná v percentách z cena za dané obdobie. @dní_do_splatnosti je počet dní do splatnosti @úrok je úrok do dňa splatnosti v percentách.
Vrátená hodnota bude v rovnakých jednotkách ako @zaciatok a @cena.
@EXAMPLES=
@SEEALSO=opt_bs_call, opt_bs_call_delta, opt_bs_put_delta opt_bs_call_rho, opt_bs_put_rho, opt_bs_call_theta, opt_bs_put_theta, opt_bs_vega, opt_bs_gamma
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Translated and reviewed by
Stanislav Visnovsky
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