Liquidity Risk of American Put Options
Last updated 9 November 2026
Function reference › Equity Derivatives › Additional Functions
1 GIAnalyzer function for Excel. Optional arguments are shown in [brackets].
GIA_EQD_PutOptionsLiquidityRisk
Returns the liquidity-risk metrics for American equity put options based on expected cashflows from early exercise given an equity portfolio.
GIA_EQD_PutOptionsLiquidityRisk(Portfolio, MarketData, FXData, MoneynessThreshold, CountLongs, VDate, SDate, Comp, Days, OutCCY, Filter, OutputType)Returns: Liquidity-risk metrics for American equity put options based on expected cashflows from early exercise given an equity portfolio
| Argument | Use | Description |
|---|---|---|
Portfolio | Required | The portfolio data table, see example or documentation for formating. |
MarketData | Required | The asset market data table. |
FXData | Required | The table of FX names and spots. |
MoneynessThreshold | Required | The moneyness threshold past which an american put would be exercised early. |
CountLongs | Required | Whether to include long positions in the calculation (Yes, No, OnlyComp) |
VDate | Required | The value date. |
SDate | Required | The spot date. |
Comp | Required | The compounding basis of the interest rates (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) |
OutCCY | Required | The output currency. |
Filter | Required | Which entries to include in the calculation (list of IDs, asset names or currency names delimited by any character) |
OutputType | Required | The type of result to output (Sum, Probability) |