WebCab XL Community Edition

EuropeanTheta.PutThetaOnFutures Method (Double, Double, Double, Double, DateTime, DateTime, String)

Returns the theta of a European put option on a futures contract.

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

Parameters

FuturesPrice
The futures price at time zero.
Strike
The value of the futures contract at which option can be exercised.
RiskFreeRate
The risk free interest rate.
Volatility
Volatility of the futures contract.
EvaluationDate
The date when the theta of the option contract is evaluated.
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_EuropeanTheta_PutThetaOnFutures.

See Also

EuropeanTheta Class | Options Namespace | EuropeanTheta.PutThetaOnFutures Overload List