Black76

High level graphic of Black76() 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. CallPut parameter
   
   
   Option Types (C)all or (P)ut
4. FwdPrice parameter
   
   
   Fwd Underlying price, curve
5. Strike parameter
   
   
   Strike price of the option
6. Time parameter
   
   
   Length of the option contract
7. 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.
8. Vol parameter
   
   
   Volatility of the underlying.
9. Greek parameter
   
   
   For the option premium specify 'PREMIUM'. For all first derivatives, you can specify one of the following : 'dFwdPrice' (for the 'FwdPrice' parameter), 'dStrike' (for the 'Strike' parameter), 'dTime' (for the 'Time' parameter), 'dRate' (for the 'Rate' parameter), 'dVol' (for the 'Vol' parameter), For second order derivatives, you can specify combinations of the first order derivatives (i.e. - 'dFwdPricedFwdPrice', 'dVoldVol', 'dFwdPricedVol'. )

Double CTExoticOptions.Black76( _
Long ValueDate, _
DayCountEnum dayCounter, _
String CallPut, _
Double FwdPrice, _
Double Strike, _
Long Time, _
Double Rate, _
Double Vol, _
String Greek)

=CT.EXO.Black76(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel String Cell CallPut,
Excel Numeric Cell FwdPrice,
Excel Numeric Cell Strike,
Excel Numeric Cell Time,
Excel Numeric Cell Rate,
Excel Numeric Cell Vol,
Excel String Cell Greek)

static double Black76(
long ValueDate,
DayCountEnum dayCounter,
std::string CallPut,
double FwdPrice,
double Strike,
long Time,
double Rate,
double Vol,
std::string Greek);

System.Double CTExoticOptionsSA.Black76(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.String CallPut,
System.Double FwdPrice,
System.Double Strike,
System.Int32 Time,
System.Double Rate,
System.Double Vol,
System.String Greek);

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