DM_OptionsOnOptions

High level graphic of DM_OptionsOnOptions() function with parameters. Blue square node is the actual function with the parameters ordered.

1. ValueDate parameter
   
   
   Valuation Date (typically equal to Today's date)
2. dayCounter parameter
   
   
   For any input parameter within this function that represents a dividend rate, risk free rate, foreign rate or holding cost rate, these rates will be defined as annually compounded using the DayCounter defined within this parameter. Thus if 'actual365' is used for this 'dayCounter' parameter, then all input parameters that represent a dividend, risk free, foreign or holding cost rates will be defined as annually compounded Actual365 rates.
3. OOType parameter
   
   
   Option Types - CC, CP, PC, PP
4. Underlying parameter
   
   
   Underlying price, curve
5. Strike1 parameter
   
   
   Strike price of the underlying (first) option.
6. Strike2 parameter
   
   
   Strike price of the second option.
7. Timet1 parameter
   
   
   Expiration date of the first option.
8. TimeT parameter
   
   
   Expiration date of the second option.
9. Rate parameter
   
   
   For the underlying (equity, futures, FX or commodity), this should be an annualised rate (risk free rate or foreign rate). If this is an option on a FX underlying, then if the underlying is quoted as domestic/foreign then this rate will be the domestic rate. If, however, the FX underlying is quoted as foreign/domestic then this will be the foreign rate.
10. B parameter
    
    
    For the underlying (equity, futures, FX or commodity), this should be an annualised rate (dividend rate, risk free rate, foreign rate or holding cost rate respectively). If this is an option on a FX underlying, then if the underlying is quoted as domestic/foreign then this rate will be the foreign rate. If, however, the FX underlying is quoted as foreign/domestic then this will be the domestic rate.
11. Vol parameter
    
    
    Volatility of the underlying.

Variant CTDerivativeMatrix.DM_OptionsOnOptions( _
Long ValueDate, _
DayCountEnum dayCounter, _
String OOType, _
Double Underlying, _
Double Strike1, _
Double Strike2, _
Long Timet1, _
Long TimeT, _
Double Rate, _
Double B, _
Double Vol)

=CT.DM_OptionsOnOptions(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel String Cell OOType,
Excel Numeric Cell Underlying,
Excel Numeric Cell Strike1,
Excel Numeric Cell Strike2,
Excel Numeric Cell Timet1,
Excel Numeric Cell TimeT,
Excel Numeric Cell Rate,
Excel Numeric Cell B,
Excel Numeric Cell Vol)

static CTRangeDataCPP DM_OptionsOnOptions(
long ValueDate,
DayCountEnum dayCounter,
std::string OOType,
double Underlying,
double Strike1,
double Strike2,
long Timet1,
long TimeT,
double Rate,
double B,
double Vol);

CTRangeData CTDerivativeMatrixSA.DM_OptionsOnOptions(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.String OOType,
System.Double Underlying,
System.Double Strike1,
System.Double Strike2,
System.Int32 Timet1,
System.Int32 TimeT,
System.Double Rate,
System.Double B,
System.Double Vol);

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