ExtremeSpreadOption

High level graphic of ExtremeSpreadOption() 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. ExtremeType parameter
   
   
   Option Types 1=SC, 2=SP, 3=RSC, 4=RSP
4. Underlying parameter
   
   
   Underlying price
5. Smin parameter
   
   
   Minimum underlying price observed thus far
6. Smax parameter
   
   
   Maximum underlying price observed thus far
7. Timet1 parameter
   
   
   First period, starting Today and ending at dTimet1. Specify the value of dTimet1 here.
8. TimeT2 parameter
   
   
   Second period, starting at dTimet1 and ending at dTimeT2. Specify the value of dTimeT2 here.
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.
12. Greek parameter
    
    
    For the option premium specify 'PREMIUM'. For all first derivatives, you can specify one of the following : 'dUnderlying' (for the 'Underlying' parameter), 'dSmin' (for the 'Smin' parameter), 'dSmax' (for the 'Smax' parameter), 'dTimet1' (for the 'Timet1' parameter), 'dTimeT2' (for the 'TimeT2' parameter), 'dRate' (for the 'Rate' parameter), 'dB' (for the 'B' parameter), 'dVol' (for the 'Vol' parameter), For second order derivatives, you can specify combinations of the first order derivatives (i.e. - 'dUnderlyingdUnderlying', 'dVoldVol', 'dUnderlyingdVol'. )

Double CTExoticOptions.ExtremeSpreadOption( _
Long ValueDate, _
DayCountEnum dayCounter, _
Long ExtremeType, _
Double Underlying, _
Double Smin, _
Double Smax, _
Long Timet1, _
Long TimeT2, _
Double Rate, _
Double B, _
Double Vol, _
String Greek)

=CT.EXO.ExtremeSpreadOption(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel Numeric Cell ExtremeType,
Excel Numeric Cell Underlying,
Excel Numeric Cell Smin,
Excel Numeric Cell Smax,
Excel Numeric Cell Timet1,
Excel Numeric Cell TimeT2,
Excel Numeric Cell Rate,
Excel Numeric Cell B,
Excel Numeric Cell Vol,
Excel String Cell Greek)

static double ExtremeSpreadOption(
long ValueDate,
DayCountEnum dayCounter,
long ExtremeType,
double Underlying,
double Smin,
double Smax,
long Timet1,
long TimeT2,
double Rate,
double B,
double Vol,
std::string Greek);

System.Double CTExoticOptionsSA.ExtremeSpreadOption(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.Int32 ExtremeType,
System.Double Underlying,
System.Double Smin,
System.Double Smax,
System.Int32 Timet1,
System.Int32 TimeT2,
System.Double Rate,
System.Double B,
System.Double Vol,
System.String Greek);

• Example VB.NET Driver function. Preparing the parameters and the final function call (the result).
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• Example Visual Basic 6 Driver function. Preparing the parameters and the final function call (the result).
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• Example Java Driver function. Preparing the parameters and the final function call (the result).