WebCab XL Community Edition

EuropeanEvaluation.PutOnCurrency Method (Double, Double, Double, Double, Double, DateTime, DateTime, String)

Evaluates the value of a European put options on a currency.

public double PutOnCurrency(
   double ForeignRate,
   double ExchangeRate,
   double Strike,
   double RiskFreeRate,
   double Volatility,
   DateTime EvaluationDate,
   DateTime MaturityDate,
   string CalendarName
);

Parameters

ForeignRate
The continuously compounded risk free interest rate in the foreign currency given in decimal format (i.e. 1 percent = 0.01).
ExchangeRate
The present exchange rate on which the option is defined.
Strike
The exchange rate at which the option can be exercised.
RiskFreeRate
The risk free interest rate in the base currency expressed in decimal format (i.e. 1 percent = 0.01).
Volatility
The volatility of the exchange rate given in decimal format (i.e. 1 percent = 0.01).
EvaluationDate
The evaluation date of the option.
MaturityDate
The date when the option contract matures.
CalendarName
(Optional) The name of one of the implemented business calendars, "London" by default.

Remarks

The full name of this function inside Excel is Option_EuropeanEvaluation_PutOnCurrency.

See Also

EuropeanEvaluation Class | Options Namespace | EuropeanEvaluation.PutOnCurrency Overload List