WebCab XL Community Edition

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

Evaluates the present value of a European put option on a (stock) futures contract.

public double PutOnFutures(
   double FuturesPrice,
   double Strike,
   double RiskFreeRate,
   double Volatility,
   DateTime EvaluationDate,
   DateTime MaturityDate,
   string CalendarName
);

Parameters

FuturesPrice
The present price of the underlying futures contract on which the option contract is defined.
Strike
The strike of the option contract. The strike is the price at which the underlying futures contracts can be sold at when the put option is exercised.
RiskFreeRate
The risk free interest rate expressed given in decimal format (i.e. 1 percent = 0.01).
Volatility
The volatility of the underlying futures contract 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_PutOnFutures.

See Also

EuropeanEvaluation Class | Options Namespace | EuropeanEvaluation.PutOnFutures Overload List