Creates a BondOption object that will price the option via a Black Scholes methodology.

You can only price European BondOptions.

If your Bond has amortised notional amounts or step up/step down coupons, then we refer you to the Term structure Bond option function.

A flat repurchase rate (repo rate) is required as well as an exercise object.

The Bond object that is to be queried must have been previously created via one of the FixedCouponBond creation functions within the CapeTools Bonds, CapeTools Forward Bonds, CapeTools Bonds (Yield) or CapeTools Bonds (Price) category of functions.

These functions would have returned a string 'KEY' which is to be passed to the 'BondKey' parameter of this function.

This function requires the input of a exercise object key, which must have been produced via a call to one of the following functions : AmericanExercise(), EuropeanExercise(), BermudanExercise(), ExerciseFromLeg(), ExerciseFromSche(), ExerciseFromSW(), ExerciseFromFIXBND() or ExerciseFromFLTBND(). These functions would have returned a string 'KEY' which is to be passed to the 'exercise' parameter of this function.

Please refer to the large number of enumeration functions present within the CapeTools Enums category of functions.

The CapeTools Enums category of functions return correct string codes that can be passed to parameters taking fixed string values defined by the library (ie - DayCount codes, frequency codes, currency codes, compounding codes, business day convention codes etc...).

You can thus execute these enumeration functions which return the proper code, instead of trying to remember the string code needed or making spelling mistakes which can be difficult to debug.

This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "BSBNDOPT"

String CTBondOptions.QBSBondOption( _
String Key, _
Long Reload, _
String BondKey, _
String OptionType, _
String exercise, _
Double exercisePrice, _
Double Vol, _
String VolType, _
Double reporate, _
COMPEnum compounding, _
FreqEnum Freq, _
DayCountEnum DayCount)

=CT.BNDOPT.QBSBondOption(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell BondKey,
Excel String Cell OptionType,
Excel String Cell exercise,
Excel Numeric Cell exercisePrice,
Excel Numeric Cell Vol,
Excel String Cell VolType,
Excel Numeric Cell reporate,
Excel String Cell compounding,
Excel String Cell Freq,
Excel String Cell DayCount)

static std::string QBSBondOption(
std::string Key,
long Reload,
std::string BondKey,
std::string OptionType,
std::string exercise,
double exercisePrice,
double Vol,
std::string VolType,
double reporate,
COMPEnum compounding,
FreqEnum Freq,
DayCountEnum DayCount);

System.String CTBondOptionsSA.QBSBondOption(
System.String Key,
System.Int32 Reload,
System.String BondKey,
System.String OptionType,
System.String exercise,
System.Double exercisePrice,
System.Double Vol,
System.String VolType,
System.Double reporate,
CTIEnums.COMPEnum compounding,
CTIEnums.FreqEnum Freq,
CTIEnums.DayCountEnum DayCount);

The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.