DivVanillaOption




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Creates a Dividend Vanilla Option object.

This object in fact can price a large class of (non-short rate) option types including European and Digital dividend options via a large range of pricing engines (Analytical and Finite Difference).

Once the object has been constructed, the value of the option can be obtained by executing the PrcObjDivVanillaOption() function.

This function requires the input of a BlackScholes Process object key, which must have been produced via a call to one of the following functions : GBSProcess(), GBSProcess2(), BS73Process(), BS73Process2(), BlackProcess(), BlackProcess2(), GKProcess() or GKProcess2(). These functions would have returned a string 'KEY' which is to be passed to the 'stochProcess' parameter of this function.

This function requires the input of a payoff object key, which must have been produced via a call to one of the following functions : PlainVanilla(), PercentageStrike(), CashOrNothing(), AssetOrNothingPayoff() or Gap(). These functions would have returned a string 'KEY' which is to be passed to the 'payoff' 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.

This function requires the input of an engine object key, which must have been produced via a call to one of the following functions : AnaDivEuroEngine(), FDDividendAmericanEngine(), FDDividendEuropeanEngine() or FDDividendShoutEngine(). These functions would have returned a string 'KEY' which is to be passed to the 'engine' parameter of this function.



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 : "DIVOPT"



Note: Within Excel, the function is named - CT.OPT.DivVanillaOption


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



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. stochProcess parameter

    Key to an already constructed BlackScholesProcess object.
  4. payoff parameter

    Key to an already constructed Payoff object.
  5. exercise parameter

    Key to an already constructed Exercise object.
  6. DivDates parameter

    A range of dividend dates.
  7. Dividends parameter

    A range of dividends that correspond to the dividend dates.
  8. engine parameter

    Key to an already constructed PricingEngine object.


Extended information

Function Syntax

VB Syntax 


String CTEngineOptions.DivVanillaOption( _
String Key, _
Long Reload, _
String stochProcess, _
String payoff, _
String exercise, _
Variant DivDates, _
Variant Dividends, _
String engine)


Excel Spreadsheet Syntax 


=CT.OPT.DivVanillaOption(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell stochProcess,
Excel String Cell payoff,
Excel String Cell exercise,
XLRange DivDates,
XLRange Dividends,
Excel String Cell engine)


C++ Syntax 


static std::string DivVanillaOption(
std::string Key,
long Reload,
std::string stochProcess,
std::string payoff,
std::string exercise,
CTRangeDataCPP DivDates,
CTRangeDataCPP Dividends,
std::string engine);


DotNET Syntax 


System.String CTEngineOptionsSA.DivVanillaOption(
System.String Key,
System.Int32 Reload,
System.String stochProcess,
System.String payoff,
System.String exercise,
CTRangeData DivDates,
CTRangeData Dividends,
System.String engine);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
stochProcessStringTRUE
payoffStringTRUE
exerciseStringTRUE
DivDatesRangeFALSE
DividendsRangeFALSE
engineStringTRUE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMyDivVanillaOption
ReloadFALSE1
stochProcessFALSEstochProcessNAME.EXTTAG.TICKER (from a function call)
payoffFALSEpayoffNAME.EXTTAG.TICKER (from a function call)
exerciseFALSEexerciseNAME.EXTTAG.TICKER (from a function call)
DivDatesFALSEDivVanillaOption_DivDates_Range (creates a range object)
DividendsFALSEDivVanillaOption_Dividends_Range (creates a range object)
engineFALSEengineNAME.EXTTAG.TICKER (from a function call)


Example range for parameter : DivDates

Within Excel, a range such as this can be passed directly into the DivDates parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : DivDates 


CTQL.CTRangeData DivVanillaOption_DivDates;


int[] arrBDivVanillaOption_DivDates = {
CTQL.Date.serialNumber("26/7/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("2/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("9/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("16/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("23/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("30/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("6/9/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("13/9/2005", "dd/mm/yyyy")  //  Array Data

};

CTQL.IntVector arrDivVanillaOption_DivDates =
new  CTQL.IntVector(arrBDivVanillaOption_DivDates);

// Second parameter determines whether the array is a column array (false) or a row array (true)
DivVanillaOption_DivDates = new  CTQL.CTRangeData(arrDivVanillaOption_DivDates, false);

Example range for parameter : Dividends

Within Excel, a range such as this can be passed directly into the Dividends parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Dividends 


CTQL.CTRangeData DivVanillaOption_Dividends = new CTQL.CTRangeData();

System.Text.StringBuilder DivVanillaOption_Dividends_builder =
new System.Text.StringBuilder(100);

DivVanillaOption_Dividends_builder.Append("{");
DivVanillaOption_Dividends_builder.Append("5 ;");
DivVanillaOption_Dividends_builder.Append("5 ;");
DivVanillaOption_Dividends_builder.Append("4.99 ;");
DivVanillaOption_Dividends_builder.Append("4.99 ;");
DivVanillaOption_Dividends_builder.Append("4.97 ;");
DivVanillaOption_Dividends_builder.Append("5 ;");
DivVanillaOption_Dividends_builder.Append("4.99 ;");
DivVanillaOption_Dividends_builder.Append("4.92");
DivVanillaOption_Dividends_builder.Append("}");

// Parse the string into the Range object.
DivVanillaOption_Dividends.RangeFromStr( DivVanillaOption_Dividends_builder.ToString() );


Example function usage


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.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.EnginePricing20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the DivVanillaOption() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

These are the financial QuantTools sub-function calls that are used within the examples :





The objects generated by these sub-functions are inter-connected in the following way :




The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the DivVanillaOption() function call


MyDivVanillaOption_15.DIVOPT.0

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