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XLeratorDB/Financial Options Functions Documentation

FUNCTION REFERENCE - Financial Options Functions FUNCTIONS

Barrier Options

AdjustedBarrier

Convert an hourly, daily, weekly, or monthly barrier value to a continuous barrier value.

BinaryBarrierAndStrike

Calculate the price or Greeks for binary barrier options having payoffs that are received only at expiration.

BinaryBarrierAndStrikePriceNGreeks

Calculate the price and other derivatives for binary barrier options having payoffs that are received only at expiration.

BinaryBarrierOnly

Calculate the price or Greeks for binary barrier options having payoffs that are received only at expiration.

BinaryBarrierOnlyPriceNGreeks

Calculate the price and other derivatives for binary barrier options having payoffs that are received only at expiration.

BinaryBarrierPayoutAtHit

Calculate the price or Greeks for binary barrier options having payoffs that are received the moment that the barrier is breached.

BinaryBarrierPayoutAtHitPriceNGreeks

Calculate the price and other derivatives for binary barrier options having payoffs that are received the moment that the barrier is breached.

StandardBarrier

Calculate the price or Greeks of a European-style Knock-In or Knock-Out option.

StandardBarrierPriceNGreeks

Calculate the price and Greeks of a European-style Knock-In or Knock-Out option.

Binomial Trees

BinomialAmerican

Calculate the price, delta, gamma, theta, vega, rho, or lambda of an American option using the Binomial Tree option pricing formula.

BinomialAmericanIV

Calculate the implied volatility of an American option using the Binomial Tree option pricing formula.

BinomialEuro

Calculate the price, delta, gamma, theta, vega, rho, or lambda of a European option using the Binomial Tree option pricing formula.

BinomialEuroIV

Calculate the implied volatility of a European option using the Binomial Tree option pricing formula.

BinomialPriceNGreeks

Calculate the price, delta, gamma, theta, vega, rho and lambda of European or American options using the Binomial Tree option pricing formula.

BinomialTree

Return the option value, intrinsic value and underlying value for each node on a binomial tree for an American or European option.

sp_BinomialTree

Generate a result set of all the values in the binomial tree used to calculate the theoretical price of an option.

Equity Options

BinomialDiscreteDividends

Calculate the price and Greeks of an American or European option paying discrete dividends

BinomialDiscreteDividendsIV

Calculate the implied volatility of an American or European option paying discrete dividends

BinomialDiscreteDividendsPriceNGreeks

Calculate the price and Greek of American and European options paying discrete dividends using a Cox Ross Rubinstein Binomial

BinomialDiscreteDividendsTree

Return the option value, intrinsic value, underlying value, and present value of the dividend amounts for each node on a binomial tree for an American or European option paying discrete dividends.

NonRecombiningTree

Calculate the price and Greeks of an option using a non-recombining binomial tree

NonRecombiningTreeIV

Calculate the implied volatility of an option using a non-recombining tree

NonRecombiningTreePriceNGreeks

Calculate price, delta, gamma, theta, vega, rho, and lambda of an option using a non-recombining tree

ProportionalDividends

Calculate the price and Greeks of an American or European option paying proportional dividends using a Cox Ross Rubinstein Binomial.

ProportionalDividendsIV

Calculate the implied volatility of American or European option paying proportional dividends using a Cox Ross Rubinstein Binomial.

ProportionalDividendsPriceNGreeks

Calculate the price, delta, gamma, theta, vega, rho, and lambda of American and European options paying proportional dividends using a Cox Ross Rubinstein Binomial.

ProportionalDividendsTree

Return the option value, intrinsic value, and underlying value for each node on a binomial tree for an American or European option paying proportional dividends.

Bjerksund Stensland

BjerksundStensland

Calculate the price or Greeks of an American-style option using the Bjerksund and Stensland 2002 option pricing formula.

BjerksundStenslandIV

Calculate an implied volatility for an American-style option using the Bjerksund and Stensland 2002 option pricing formula.

BjerksundStenslandPriceNGreeks

Calculate the price and other derivatives of an American option using the Bjerksund & Stensland 2002 option pricing formula.

Black Scholes

BlackScholesMerton

price, delta, gamma, theta, vega, rho or lambda of a European option using the Black-Scholes-Merton option pricing formula

BlackScholesMertonIV

Calculate an implied volatility for a European-style option using the Black-Scholes-Merton option pricing formula.

BlackScholesMertonPriceNGreeks

Calculate the price and other derivatives of a European option using the Black-Scholes-Merton option pricing formula.

Performance Analytics

OptionMatrix

Generate a result set of return values by varying two inputs into the calculated value.

OptionPLMatrix

Generate a result set of profit (loss) by varying two inputs into the theoretical value of the option.

sp_OptionMatrix

Generate a result set of all return values by varying two inputs into the calculated value.

sp_OptionPLMatrix