Equity Derivatives — parameters
Below is the complete list of the functions’ parameters.
| Barrier | |
|---|
| Description: | The option's barrier. |
| Instruments: | American barrier option, European barrier option, One-Touch option, No-Touch option. |
| BarrierL | |
|---|
| Description: | The option's lower barrier. |
| Instruments: | Double barrier option, KIKO. |
| BarrierType1 | |
|---|
| Description: | The option's barrier type. (American, European) |
| Instruments: | Single barrier option. |
| BarrierType2 (1) | |
|---|
| Description: | The option's barrier type. (Up-And-In, Up-And-Out, Down-And-In, Down-And-Out) |
| Instruments: | Single barrier option. |
| BarrierType (1) | |
|---|
| Description: | The option's barrier type. (In, Out) |
| Instruments: | Double barrier option. |
| BarrierType (2) | |
|---|
| Description: | The option's barrier type. (LowerOut-UpperIn, LowerIn-UpperOut) |
| Instruments: | KIKO option. |
| BarrierU | |
|---|
| Description: | The option's upper barrier. |
| Instruments: | Double barrier option, KIKO. |
| Barrier1 | |
|---|
| Description: | In single barrier options and in touch options – the option's barrier. In double barrier options and in KIKO: the option's lower barrier. |
| Instruments: | Equity exotic options in functions GIA_EQD_ExoticOptions_XXX. |
| Barrier2 | |
|---|
| Description: | In double barrier options and in KIKO: the option's upper barrier. |
| Instruments: | Equity exotic options in functions GIA_FXD_ExoticOptions_XXX. |
| Comp | |
|---|
| Description: | The compounding basis of the interest rates. (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous) |
| Instruments: | All Instruments: in this section. |
| Days | |
|---|
| Description: | The time basis of the interest rates. (act/360, act/365, act/act, 30E/360, 30I/360) |
| Instruments: | All Instruments: in this section. |
| DividendYield | |
|---|
| Description: | The continuous annual dividend yield. |
| Instruments: | All Instruments: in this section. |
| EDate | |
|---|
| Description: | The option's expiry date. |
| Instruments: | Vanilla and exotic options. |
| ExerciseRatio | |
|---|
| Description: | The employee annual exit rate during post-vesting period. |
| Instruments: | ESO. |
| ExitRatePostVesting | |
|---|
| Description: | The employee annual exit rate during post-vesting period. |
| Instruments: | ESO. |
| ExitRatePreVesting | |
|---|
| Description: | The employee annual exit rate during pre-vesting period. |
| Instruments: | ESO. |
| ExoticType | |
|---|
| Description: | The exotic option type. (CashOrNothing, AssetOrNothing, OneTouch, NoTouch, SingleBarrier, EuropeanBarrier, DoubleBarrier, KIKO) |
| Instruments: | Exotic options in functions GIA_EXD_ExoticOptions_XXX. |
| FixingDates | |
|---|
| Description: | The array of dates in which the rates for calcualating the average rate are set. |
| Instruments: | Asian option. |
| FixingRates | |
|---|
| Description: | The array of rates for calculating the average rate. |
| Instruments: | Asian option. |
| GrantDate | |
|---|
| Description: | The date of the option grant. |
| Instruments: | ESO. |
| GreekType | |
|---|
| Description: | The Greek's type returned by the function. (SpotDelta, ForwardDelta, Gamma, Vega, Theta, RhoBase, RhoCounter, Vanna, Volga) |
| Instruments: | All Instruments: in this section, except ESO. |
| InterestRate | |
|---|
| Description: | The interest rate. |
| Instruments: | All Instruments: in this section. |
| Interp | |
|---|
| Description: | The interpolation method. (Linear, LogLinear, CubicSpline, Exponential) |
| Instruments: | All Instruments: in this section. |
| MaxStockPrice | |
|---|
| Description: | The maximum effective level of the stock price during the option lifetime. If this argument is not relevant, it has to be omitted. |
| Instruments: | ESO. |
| OptionType | |
|---|
| Description: | The option type. (Call, Put) |
| Instruments: | All Instruments: in this section, except ESO. |
| OptionValue | |
|---|
| Description: | The option's value. |
| Instruments: | Vanilla Option. |
| Payoff | |
|---|
| Description: | The option's payoff if it expires in the money (in Digital Option); if the barrier is touched (in One-Touch Option); or if the barrier has not been touched (No- Touch Option). |
| Instruments: | Digital option, One-Touch option, No-Touch option. |
| PayoffTime | |
|---|
| Description: | The payoff's time. (AtHit, AtExpiry) |
| Instruments: | One-Touch option. |
| S | |
|---|
| Description: | The spot rate. |
| Instruments: | All Instruments: in this section. |
| SharesNumber (1) | |
|---|
| Description: | The number of shares. |
| Instruments: | All Instruments: in this section. |
| SharesNumber (2) | |
|---|
| Description: | In barrier options: the number of shares. In other types: the option's payoff. |
| Instruments: | Exotic options in functions GIA_EQD_ExoticOptions_XXX. |
| Strike | |
|---|
| Description: | The option's strike price. |
| Instruments: | All Instruments: in this section. |
| StrikeChange | |
|---|
| Description: | The annual change in the strike price. If the strike price remains constant during the option lifetime, this argument is equal to zero. |
| Instruments: | ESO. |
| Steps | |
|---|
| Description: | The number of steps in the binomial tree. |
| Instruments: | American vanilla option, ESO. |
| VDate | |
|---|
| Description: | The value date. |
| Instruments: | All Instruments: in this section. |
| VestingDate | |
|---|
| Description: | The last date of the vesting period. |
| Instruments: | ESO. |
| Vol | |
|---|
| Description: | The volatility of the underlying asset. |
| Instruments: | All Instruments: in this section. |
| VolSurface | |
|---|
| Description: | The volatility surface. This argument has to be in the form of RxC matrix ("R" stands for rows and "C" for columns). The matrix size is flexible. Its rows are used for different periods and columns for different deltas. |
| Instruments: | Vanilla option. |
