GapOption

High level graphic of GapOption() 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. S parameter
   
   
   Underlying price
5. X1 parameter
   
   
   First strike price of the option
6. X2 parameter
   
   
   Second strike price of the option
7. T parameter
   
   
   Time to option maturity.
8. r 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.
9. 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.
10. v parameter
    
    
    Volatility of the underlying.
11. Greek parameter
    
    
    For the option premium specify 'PREMIUM'. For all first derivatives, you can specify one of the following : 'dS' (for the 'S' parameter), 'dX1' (for the 'X1' parameter), 'dX2' (for the 'X2' parameter), 'dT' (for the 'T' parameter), 'dr' (for the 'r' parameter), 'db' (for the 'b' parameter), 'dv' (for the 'v' parameter), For second order derivatives, you can specify combinations of the first order derivatives (i.e. - 'dSdS', 'dvdv', 'dSdv'. )

Double CTExoticOptions.GapOption( _
Long ValueDate, _
DayCountEnum dayCounter, _
String CallPut, _
Double S, _
Double X1, _
Double X2, _
Long T, _
Double r, _
Double b, _
Double v, _
String Greek)

=CT.EXO.GapOption(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel String Cell CallPut,
Excel Numeric Cell S,
Excel Numeric Cell X1,
Excel Numeric Cell X2,
Excel Numeric Cell T,
Excel Numeric Cell r,
Excel Numeric Cell b,
Excel Numeric Cell v,
Excel String Cell Greek)

static double GapOption(
long ValueDate,
DayCountEnum dayCounter,
std::string CallPut,
double S,
double X1,
double X2,
long T,
double r,
double b,
double v,
std::string Greek);

System.Double CTExoticOptionsSA.GapOption(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.String CallPut,
System.Double S,
System.Double X1,
System.Double X2,
System.Int32 T,
System.Double r,
System.Double b,
System.Double v,
System.String Greek);

• Example VB.NET Driver function. Preparing the parameters and the final function call (the result).
• Example C# Driver function. Preparing the parameters, sub-function calls and the final function call (the result).
• Example C++.NET Driver function. Preparing the parameters and the final function call (the result).
• Example J# Driver function. Preparing the parameters and the final function call (the result).

• Example Visual Basic 6 Driver function. Preparing the parameters and the final function call (the result).
• Example Excel VBA Driver function. Preparing the parameters and the final function call (the result).
• Example C++ Driver function. Preparing the parameters and the final function call (the result).
• Example Java Driver function. Preparing the parameters and the final function call (the result).