WebCab XL Community Edition

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

Evaluates the value of a European put option on an index.

public double PutOnIndex(
   double Yield,
   double IndexValue,
   double Strike,
   double RiskFreeRate,
   double Volatility,
   DateTime EvaluationDate,
   DateTime MaturityDate,
   string CalendarName
);

Parameters

Yield
The average yield of the contingents of the index given in decimal format (i.e. 1 percent = 0.01).
IndexValue
The value of the index on which the option is defined.
Strike
Index value at which the option is exercised.
RiskFreeRate
The continuously compounded risk free interest rate expressed in decimal format (i.e. 1 percent = 0.01).
Volatility
The volatility of the index 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_PutOnIndex.

See Also

EuropeanEvaluation Class | Options Namespace | EuropeanEvaluation.PutOnIndex Overload List