Option Formulae - Library
Synoposis - Available functions
- opt_BSPriceCall
- opt_BSPricePut
- opt_BSDeltaCall
- opt_BSGammaCall
- opt_BSVegaCall
- opt_BSRhoCall
- opt_BSDeltaPut
- opt_BSGammaPut
- opt_BSVegaPut
- opt_BSRhoPut
- opt_PriceUpOutCall
- opt_PriceUpInCall
- opt_PriceDownOutCall
- opt_PriceDownInCall
- opt_PriceDownOutPut
- opt_PriceDownInPut
- opt_PriceUpOutPut
- opt_PriceUpInPut
- opt_PriceBinaryCall
- opt_PriceBinaryPut
Description
opt_BSPriceCall
Description : Calculates Black Scholes Price for European Call.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_BSPricePut
Description : Calculates Black Scholes Price for European Put.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_BSDeltaCall
Description : Calculates Black Scholes Delta for European Call.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_BSGammaCall
Description : Calculates Black Scholes Gamma for European Call.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_BSVegaCall
Description : Calculates Black Scholes Vega for European Call.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_BSRhoCall
Description : Matrix solution to samultaneous linear equation AX = Y. A = Input coefficient matrix. Y = RHS Vector.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_BSDeltaPut
Description : Calculates Black Scholes Delta for European Put.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_BSGammaPut
Description : Calculates Black Scholes Gamma for European Put.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_BSVegaPut
Description : Calculates Black Scholes Vega for European Put.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_BSRhoPut
Description : Calculates Black Scholes Rho for European Put.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_PriceUpOutCall
Description : Calculates Price for Up and Out European Call Option. Barrier Level should be higher than the stock price.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| Barrier | 130.00 | Barrier Level |
| DividendYield | 0.00 | Dividend Yield |
opt_PriceUpInCall
Description : Calculates Price for Up and In European Call Option. Barrier Level should be higher than the stock price.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| Barrier | 130.00 | Barrier Level |
| DividendYield | 0.00 | Dividend Yield |
opt_PriceDownOutCall
Description : Calculates Price for Down and Out European Call Option. Barrier Level should be lower than the stock price.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| Barrier | 70.00 | Barrier Level |
| DividendYield | 0.00 | Dividend Yield |
opt_PriceDownInCall
Description : Calculates Price for Down and In European Call Option. Barrier Level should be lower than the stock price.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| Barrier | 70.00 | Barrier Level |
| DividendYield | 0.00 | Dividend Yield |
opt_PriceDownOutPut
Description : Calculates Price for Down and Out European Put Option. Barrier Level should be lower than the stock price.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| Barrier | 70.00 | Barrier Level |
| DividendYield | 0.00 | Dividend Yield |
opt_PriceDownInPut
Description : Calculates Price for Down and In European Put Option. Barrier Level should be lower than the stock price.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| Barrier | 70.00 | Barrier Level |
| DividendYield | 0.00 | Dividend Yield |
opt_PriceUpOutPut
Description : Calculates Price for Up and Out European Put Option. Barrier Level should be higher than the stock price.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| Barrier | 130.00 | Barrier Level |
| DividendYield | 0.00 | Dividend Yield |
opt_PriceUpInPut
Description : Calculates Price for Up and In European Put Option. Barrier Level should be higher than the stock price.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| Barrier | 130.00 | Barrier Level |
| DividendYield | 0.00 | Dividend Yield |
opt_PriceBinaryCall
Description : Calculates Price per 1$ of exchange asset price at maturity for Binary Call Option.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
opt_PriceBinaryPut
Description : Matrix solution to samultaneous linear equation AX = Y. A = Input coefficient matrix. Y = RHS Vector.
Input parameters
| Input variable | Example | Description |
|---|---|---|
| StockPrice | 100.00 | Stock Price |
| ExercisePrice | 100.00 | Exercise Price |
| InterestRate | 0.06 | Risk Free Interest Rate |
| TimeToMaturity | 1.00 | Time to Maturity in Years |
| Volatility | 0.30 | Implied Volatility |
| DividendYield | 0.00 | Dividend Yield |
References
- http://www.wilmottwiki.com/wiki/index.php/Barrier_option_formulae
- http://www.wilmottwiki.com/wiki/index.php/Binary_put_option
Requirements
- optionformulae.xll
