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17.
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@FUNCTION=OPT_FORWARD_START 
@SYNTAX=OPT_FORWARD_START(call_put_flag,spot,alpha,time1,time,rate,volatility,cost_of_carry)
@DESCRIPTION=OPT_FORWARD_START models the theoretical price of forward start 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.
@alpha is a fraction that set the strike price the future date @time1.
@time1 is the number of days until the option starts.
@time is the number of days to maturity of the option.
@rate is the annualized risk-free rate of interest.
@volatility is the annualized volatility in price of the underlying asset.
@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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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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18.
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@FUNCTION=OPT_TIME_SWITCH
@SYNTAX=OPT_TIME_SWITCH(call_put_flag,spot,strike,a,time,m,dt,rate,cost_of_carry,volatility)
@DESCRIPTION=OPT_TIME_SWITCH models the theoretical price of time switch options. (Pechtl 1995)
The holder receives @a * @dt for each period dt that the asset price was greater than the strike price (for a call) or below it (for a put).
@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.
@a is the amount received for each time period as discussed above.
@time is the maturity of the option in years.
@m is the number of time units the option has already met the condition.
@dt is the agreed upon discrete time period (often a day) expressed as a fraction of a year.
@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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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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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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20.
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@FUNCTION=OPT_COMPLEX_CHOOSER
@SYNTAX=OPT_COMPLEX_CHOOSER(call_put_flag,spot,strike_call,strike_put,time,time_call,time_put,rate,cost_of_carry,volatility)
@DESCRIPTION=OPT_COMPLEX_CHOOSER models the theoretical price of complex 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_call is the strike price at which the option is struck, applicable if exercised as a call option.
@strike_put is the strike price at which the option is struck, applicable if exercised as a put option.
@time is the time in years until the holder chooses a put or a call option.
@time_call is the time in years to maturity of the call option if chosen.
@time_put is the time in years to maturity of the put option if chosen.
@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.
@volatility is the annualized volatility in price of the underlying asset.
@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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21.
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@FUNCTION=OPT_ON_OPTIONS
@SYNTAX=OPT_ON_OPTIONS(type_flag,spot,strike1,strike2,time1,time2,rate,cost_of_carry,volatility)
@DESCRIPTION=OPT_ON_OPTIONS models the theoretical price of options on options.
@type_flag is 'cc' for calls on calls, 'cp' for calls on puts, and so on for 'pc', and 'pp'.
@spot is the spot price of the underlying asset.
@strike1 is the strike price at which the option being valued is struck.
@strike2 is the strike price at which the underlying option is struck.
@time1 is the time in years to maturity of the option.
@time2 is the time in years to the maturity of the underlying option.
(@time2 >= @time1).
@rate is the annualized risk-free rate of interest.
@cost_of_carry is the leakage in value of the underlying asset of the underlying option.for common stocks, this would be the dividend yield.
@volatility is the annualized volatility in price of the underlying asset of the underlying option.
@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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22.
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@FUNCTION=OPT_EXTENDIBLE_WRITER
@SYNTAX=OPT_EXTENDIBLE_WRITER(call_put_flag,spot,strike1,strike2,time1,time2,rate,cost_of_carry,volatility)
@DESCRIPTION=OPT_EXTENDIBLE_WRITER models the theoretical price of extendible writer options. These are options that can be exercised at an initial period, @time1, or their maturity extended to @time2 if the option is out of the money at @time1.
@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.
@strike1 is the strike price at which the option is struck.
@strike2 is the strike price at which the option is re-struck if out of the money at @time1.
@time1 is the initial maturity of the option in years.
@time2 is the is the extended maturity in years if chosen.
@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.
@volatility is the annualized volatility in price of the underlying asset.
@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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23.
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@FUNCTION=OPT_2_ASSET_CORRELATION
@SYNTAX=OPT_2_ASSET_CORRELATION(call_put_flag,spot1,spot2,strike1,strike2,time,cost_of_carry1,cost_of_carry2,rate,volatility1,volatility2,rho)
@DESCRIPTION=OPT_2_ASSET_CORRELATION models the theoretical price of options on 2 assets with correlation @rho.
The payoff for a call is max(@spot2 - @strike2,0) if @spot1 > @strike1 or 0 otherwise.
The payoff for a put is max (@strike2 - @spot2, 0) if @spot1 < @strike1 or 0 otherwise.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@spot1 & @spot2 are the spot prices of the underlying assets.
@strike1 & @strike2 are the strike prices at which the option is struck.
@time is the initial maturity of the option in years.
@rate is the annualized risk-free rate of interest.
@cost_of_carry1 & @cost_of_carry2 are the leakage in value of the underlying assets, for common stocks, this would be the dividend yield.
@volatility1 & @volatility2 are the annualized volatility in price of the underlying assets.
@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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24.
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@FUNCTION=OPT_EURO_EXCHANGE
@SYNTAX=OPT_EURO_EXCHANGE(spot1,spot2,qty1,qty2,time,rate,cost_of_carry1,cost_of_carry2,volatility1,volatility2,rho)
@DESCRIPTION=OPT_EURO_EXCHANGE models the theoretical price of a European option to exchange one asset with quantity @qty2 and spot price @spot2 for another, with quantity @qty1 and spot price @spot1.
@time is the initial maturity of the option in years.
@rate is the annualized risk-free rate of interest.
@cost_of_carry1 & @cost_of_carry2 are the leakage in value of the underlying assets, for common stocks, this would be the dividend yield.
@volatility1 & @volatility2 are the annualized volatility in price of the underlying assets.
@rho is the correlation between the two assets.
@EXAMPLES=
@SEEALSO=OPT_AMER_EXCHANGE, 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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25.
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@FUNCTION=OPT_AMER_EXCHANGE
@SYNTAX=OPT_AMER_EXCHANGE(spot1,spot2,qty1,qty2,time,rate,cost_of_carry1,cost_of_carry2,volatility1, volatility2, rho)
@DESCRIPTION=OPT_AMER_EXCHANGE models the theoretical price of an American option to exchange one asset with quantity @qty2 and spot price @spot2 for another, with quantity @qty1 and spot price @spot1.
@time is the initial maturity of the option in years.
@rate is the annualized risk-free rate of interest.
@cost_of_carry1 & @cost_of_carry2 are the leakage in value of the underlying assets, for common stocks, this would be the dividend yield.
@volatility1 & @volatility2 are the annualized volatility in price of the underlying assets.
@rho is the correlation between the two assets.
@EXAMPLES=
@SEEALSO=OPT_EURO_EXCHANGE, 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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26.
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@FUNCTION=OPT_SPREAD_APPROX
@SYNTAX=OPT_SPREAD_APPROX(call_put_flag,fut_price1,fut_price2,strike,time, rate,volatility1,volatility2,rho)
@DESCRIPTION=OPT_SPREAD_APPROX models the theoretical price of a European option on the spread between two futures contracts.
@call_put_flag is 'c' or 'p' to indicate whether the option is a call or a put.
@fut_price1 & @fut_price2 are the prices of the two futures contracts.
@strike is the strike price at which the option is struck
@time is the initial maturity of the option in years.
@rate is the annualized risk-free rate of interest.
@volatility1 & @volatility2 are the annualized volatility in price of the underlying futures contracts.
@rho is the correlation between the two futures contracts.
@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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