Option on a Bond (from its price)
Last updated 9 November 2026
Function reference › Bonds › Bond Options
1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].
GIA_Bonds_Option_ValueFromSpot
Returns the price of a European option on a bond product, given its price.
GIA_Bonds_Option_ValueFromSpot(OptionType, Strike, Vol, InterestRate, OptionEDate, FaceValue, Spot, VDate, Comp, Days)Returns: Price of a European option on a bond product
| Argument | Use | Description |
|---|---|---|
OptionType | Required | The option type (Call, Put) |
Strike | Required | The option's strike price. |
Vol | Required | The volatility of the underlying bond's price. |
InterestRate | Required | The interest rate. |
OptionEDate | Required | The option's expiry date. |
FaceValue | Required | The bond's face value. |
Spot | Required | The bond's fair price. |
VDate | Required | The value date. |
Comp | Required | The compounding basis of the interest rate (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous) |
Days | Required | The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360) |