Equity Derivatives — functions

European Vanilla Option

239. GIA_EQD_VanillaE_Value

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days)

Returns the value of a European equity vanilla option, given volatility, continuous dividend yield and interest rate.

240. GIA_EQD_VanillaE_ValueFromCurve

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the value of a European equity vanilla option, given volatility, continuous dividend yield and interest rate curve.

241. GIA_EQD_VanillaE_ValueFromSurface

(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, InterestRate, VDate, Comp, Days)

Returns the value of a European equity vanilla option, given a volatility surface, continuous dividend yield and interest rate.

242. GIA_EQD_VanillaE_ValueFromSurfaceAndCurve

(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the value of a European equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve.

243. GIA_EQD_VanillaE_Greeks

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of a European equity vanilla option, given volatility, continuous dividend yield and interest rate.

244. GIA_EQD_VanillaE_GreeksFromCurve

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns the Greeks of a European equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve.

245. GIA_EQD_VanillaE_GreeksFromSurface

(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of a European equity vanilla option, given a volatility surface, continuous dividend yield and interest rate.

246. GIA_EQD_VanillaE_GreeksFromSurfaceAndCurve

(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns the Greeks of a European equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve.

247. GIA_EQD_VanillaE_VolFromSurface

(Strike, EDate, DDate, S, VolSurface, VDate)

Returns the volatility for a European equity vanilla option extracted from a volatility surface, given continuous dividend yield and interest rate.

248. GIA_EQD_VanillaE_ImpliedVol

(OptionType, SharesNumber, Strike, EDate, DDate, OptionValue, S, DividendYield, InterestRate, VDate, Comp, Days)

Returns the implied volatility of a European equity vanilla option, given the option's value, continuous dividend yield and interest rate.

249. GIA_EQD_VanillaE_ImpliedVolFromCurve

(OptionType, SharesNumber, Strike, EDate, DDate, OptionValue, S, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the implied volatility of a European equity vanilla option, given the option's value, continuous dividend yield and interest rate curve.

American Vanilla Option

250. GIA_EQD_VanillaA_Value

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, Steps)

Returns the value of an American equity vanilla option, given volatility, continuous dividend yield and interest rate.

251. GIA_EQD_VanillaA_ValueFromCurve

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, Steps)

Returns the value of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve.

252. GIA_EQD_VanillaA_ValueFromSurface

(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, InterestRate, VDate, Comp, Days, Steps)

Returns the value of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate.

253. GIA_EQD_VanillaA_ValueFromSurfaceAndCurve

(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, CurveDates, CurveRatesC, VDate, Comp, Days, Interp, Steps)

Returns the value of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve.

254. GIA_EQD_VanillaA_Greeks

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, Steps, GreekType)

Returns the Greeks of an American equity vanilla option, given volatility, continuous dividend yield and interest rate.

255. GIA_EQD_VanillaA_GreeksFromCurve

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, Steps, GreekType)

Returns the Greeks of an American equity vanilla option, given volatility, continuous dividend yield and interest rate curve.

256. GIA_EQD_VanillaA_GreeksFromSurface

(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate.

257. GIA_EQD_VanillaA_GreeksFromSurfaceAndCurve

(OptionType, SharesNumber, Strike, EDate, DDate, S, VolSurface, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, Steps, GreekType)

Returns the Greeks of an American equity vanilla option, given a volatility surface, continuous dividend yield and interest rate curve.

258. GIA_EQD_VanillaA_VolFromSurface

(Strike, EDate, DDate, S, VolSurface, VDate)

Returns the volatility for an American equity vanilla option extracted from a volatility surface, given continuous dividend yield and interest rate.

Digital Option (Cash-or-Nothing and Asset-or-Nothing)

259. GIA_EQD_CashOrNothing_TV

(OptionType, Payoff, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days)

Returns the theoretical value (TV) of an equity cash-or-nothing option, given volatility, continuous dividend yield and interest rate.

260. GIA_EQD_CashOrNothing_TVFromCurve

(OptionType, Payoff, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the theoretical value (TV) of an equity cash-or-nothing option, given volatility, continuous dividend yield and interest rate curve.

261. GIA_EQD_CashOrNothing_Greeks

(OptionType, Payoff, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of an equity cash-or-nothing option, given volatility, continuous dividend yield and interest rate.

262. GIA_EQD_CashOrNothing_GreeksFromCurve

(OptionType, Payoff, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns the Greeks of an equity cash-or-nothing option, given volatility, continuous dividend yield and interest rate curve.

263. GIA_EQD_AssetOrNothing_TV

(OptionType, Payoff, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days)

Returns the theoretical value (TV) of an equity asset-or-nothing option, given volatility, continuous dividend yield and interest rate.

264. GIA_EQD_AssetOrNothing_TVFromCurve

(OptionType, Payoff, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the theoretical value (TV) of an equity asset-or-nothing option, given volatility, continuous dividend yield and interest rate curve.

265. GIA_EQD_AssetOrNothing_Greeks

(OptionType, Payoff, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of an equity asset-or-nothing option, given volatility, continuous dividend yield and interest rate.

266. GIA_EQD_AssetOrNothing_GreeksFromCurve

(OptionType, Payoff, Strike, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns the Greeks of an equity asset-or-nothing option, given volatility, continuous dividend yield and interest rate curve.

One-Touch Option

267. GIA_EQD_OneTouch_TV

(BarrierType, Payoff, PayoffTime, Barrier, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days)

Returns the theoretical value (TV) of an equity one-touch option, given volatility, continuous dividend yield and interest rate.

268. GIA_EQD_OneTouch_TVFromCurve

(BarrierType, Payoff, PayoffTime, Barrier, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the theoretical value (TV) of an equity one-touch option, given volatility, continuous dividend yield and interest rate curve.

269. GIA_EQD_OneTouch_Greeks

(BarrierType, Payoff, PayoffTime, Barrier, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of an equity one-touch option, given volatility, continuous dividend yield and interest rate.

270. GIA_EQD_OneTouch_GreeksFromCurve

(BarrierType, Payoff, PayoffTime, Barrier, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)ValueCur)

Returns the Greeks of an equity one-touch option, given volatility, continuous dividend yield and interest rate curve.

No-Touch Option

271. GIA_EQD_NoTouch_TV

(BarrierType, Payoff, Barrier, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days)

Returns the theoretical value (TV) of an equity no-touch option, given volatility, continuous dividend yield and interest rate.

272. GIA_EQD_NoTouch_TVFromCurve

(BarrierType, Payoff, Barrier, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the theoretical value (TV) of an equity no-touch option, given volatility, continuous dividend yield and interest rate curve.

273. GIA_EQD_NoTouch_Greeks

(BarrierType, Payoff, Barrier, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of an equity no-touch option, given volatility, continuous dividend yield and interest rate.

274. GIA_EQD_NoTouch_GreeksFromCurve

(BarrierType, Payoff, Barrier, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns the Greeks of an equity no-touch option, given volatility, continuous dividend yield and interest rate curve.

Single Barrier Option

275. GIA_EQD_SingleBarrier_TV

(OptionType, BarrierType1, BarrierType2, SharesNumber, Strike, Barrier, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days)

Returns the theoretical value (TV) of an equity single barrier option, given volatility, continuous dividend yield and interest rate.

276. GIA_EQD_SingleBarrier_TVFromCurve

(OptionType, BarrierType1, BarrierType2, SharesNumber, Strike, Barrier, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the theoretical value (TV) of an equity single barrier option, given volatility, continuous dividend yield and interest rate curve.

277. GIA_EQD_SingleBarrier_Greeks

(OptionType, BarrierType1, BarrierType2, SharesNumber, Strike, Barrier, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of an equity single barrier option, given volatility, continuous dividend yield and interest rate.

278. GIA_EQD_SingleBarrier_GreeksFromCurve

(OptionType, BarrierType1, BarrierType2, SharesNumber, Strike, Barrier, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns the Greeks of an equity single barrier option, given volatility, continuous dividend yield and interest rate curve.

Double Barrier Option

279. GIA_EQD_DoubleBarrier_TV

(OptionType, BarrierType, SharesNumber, Strike, BarrierL, BarrierU, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days)

Returns the theoretical value (TV) of an equity double barrier option, given volatility, continuous dividend yield and interest rate.

280. GIA_EQD_DoubleBarrier_TVFromCurve

(OptionType, BarrierType, SharesNumber, Strike, BarrierL, BarrierU, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the theoretical value (TV) of an equity double barrier option, given volatility, continuous dividend yield and interest rate curve.

281. GIA_EQD_DoubleBarrier_Greeks

(OptionType, BarrierType, SharesNumber, Strike, BarrierL, BarrierU, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of an equity double barrier option, given volatility, continuous dividend yield and interest rate.

282. GIA_EQD_DoubleBarrier_GreeksFromCurve

(OptionType, BarrierType, SharesNumber, Strike, BarrierL, BarrierU, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns the Greeks of an equity double barrier option, given volatility, continuous dividend yield and interest rate curve.

KIKO

283. GIA_EQD_KIKO_TV

(OptionType, BarrierType, SharesNumber, Strike, BarrierL, BarrierU, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days)

Returns the theoretical value (TV) of an equity KIKO option, given volatility, continuous dividend yield and interest rate.

284. GIA_EQD_KIKO_TVFromCurve

(OptionType, BarrierType, SharesNumber, Strike, BarrierL, BarrierU, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the theoretical value (TV) of an equity KIKO option, given volatility, continuous dividend yield and interest rate curve.

285. GIA_EQD_KIKO_Greeks

(OptionType, BarrierType, SharesNumber, Strike, BarrierL, BarrierU, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of an equity KIKO option, given volatility, continuous dividend yield and interest rate.

286. GIA_EQD_KIKO_GreeksFromCurve

(OptionType, BarrierType, SharesNumber, Strike, BarrierL, BarrierU, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns the Greeks of an equity KIKO option, given volatility, continuous dividend yield and interest rate curve.

Asian Option

287. GIA_EQD_Asian_TV

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, FixingsDates, FixingsRates, VDate, Comp, Days)

Returns the theoretical value (TV) of an equity Asian option, given volatility, continuous dividend yield and interest rate.

288. GIA_EQD_Asian_TVFromCurve

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveRates, CurveDates, FixingsDates, FixingsRates, VDate, Comp, Days, Interp)

Returns the theoretical value (TV) of an equity Asian option, given volatility, continuous dividend yield and interest rate curve.

289. GIA_EQD_Asian_Greeks

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, InterestRate, FixingsDates, FixingsRates, VDate, Comp, Days, GreekType)

Returns the theoretical value (TV) of an equity Asian option, given volatility, continuous dividend yield and interest rate.

290. GIA_EQD_Asian_GreeksFromCurve

(OptionType, SharesNumber, Strike, EDate, DDate, S, Vol, DividendYield, CurveRates, CurveDates, FixingsDates, FixingsRates, VDate, Comp, Days, Interp, GreekType)

Returns the theoretical value (TV) of an equity Asian option, given volatility, continuous dividend yield and interest rate curve.

Executive Stock Option (ESO)

291. GIA_EQD_ESO_Value

(SharesNumber, Strike, EDate, GrantDate, VestingDate, ExitRatePreVesting, ExitRatePostVesting, ExerciseRatio, StrikeChange, MaxStockPrice, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, Steps)

Returns the value of an executive stock option (ESO), continuous dividend yield and interest rate.

292. GIA_EQD_ESO_ValueFromCurve

(SharesNumber, Strike, EDate, GrantDate, VestingDate, ExitRatePreVesting, ExitRatePostVesting, ExerciseRatio, StrikeChange, MaxStockPrice, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, Steps)

Returns the value of an executive stock option (ESO), given continuous dividend yield and interest rate curve.

Additional Functions

293. GIA_EQD_ExoticOptions_TV

(OptionType, ExoticType, BarrierType, SharesNumber, PayoffTime, Strike, Barrier1, Barrier2, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days)

Returns the theoretical value (TV) of all types of an equity exotic options supported in GIAnalyzer, except Asian options, given volatility, continuous dividend yield and interest rate. Irrelevant parameters, such as "PaoffTime" in barrier options for example, have to be omitted.

294. GIA_EQD_ExoticOptions_TVFromCurve

(OptionType, ExoticType, BarrierType, SharesNumber, PayoffTime, Strike, Barrier1, Barrier2, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp)

Returns the theoretical value (TV) of all types of equity exotic options supported in GIAnalyzer, except Asian options, given volatility, continuous dividend yield and interest rate curve. Irrelevant parameters, such as "PayoffTime" in barrier options for example, have to be omitted.

295. GIA_EQD_ExoticOptions_Greeks

(OptionType, ExoticType, BarrierType, SharesNumber, PayoffTime, Strike, Barrier1, Barrier2, EDate, DDate, S, Vol, DividendYield, InterestRate, VDate, Comp, Days, GreekType)

Returns the Greeks of all types of equity exotic options supported in GIAnalyzer, except Asian options, given volatility, continuous dividend yield and interest rate. Irrelevant parameters, such as "PayoffTime" in barrier options for example, have to be omitted.

296. GIA_EQD_ExoticOptions_GreeksFromCurve

(OptionType, ExoticType, BarrierType, SharesNumber, PayoffTime, Strike, Barrier1, Barrier2, EDate, DDate, S, Vol, DividendYield, CurveDates, CurveRates, VDate, Comp, Days, Interp, GreekType)

Returns the Greeks of all types of equity exotic options supported in GIAnalyzer, except Asian options, given volatility, continuous dividend yield and interest rate curve. Irrelevant parameters, such as "PayoffTime" in barrier options for example, have to be omitted.