WebCab XL Community Edition

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

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

public double PutThetaOnFutures(
   double FuturesPrice,
   double Strike,
   double RiskFreeRate,
   double Volatility,
   double TimeToMaturity
);

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.
TimeToMaturity
The time to maturity of the option (in years).

Remarks

The full name of this function inside Excel is Option_EuropeanTheta_PutThetaOnFutures_ByTimeSpans.

See Also

EuropeanTheta Class | Options Namespace | EuropeanTheta.PutThetaOnFutures Overload List