LevyAsian

High level graphic of LevyAsian() 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. SA parameter
   
   
   Arithmetic average of the known asset price fixings.
6. X parameter
   
   
   Strike price of the option
7. T parameter
   
   
   Original time to option maturity.
8. T2 parameter
   
   
   Remaining time to option maturity.
9. 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.
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. Cannot be equal to zero (0.0)
11. v 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 : 'dS' (for the 'S' parameter), 'dSA' (for the 'SA' parameter), 'dX' (for the 'X' parameter), 'dT' (for the 'T' parameter), 'dT2' (for the 'T2' 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.LevyAsian( _
Long ValueDate, _
DayCountEnum dayCounter, _
String CallPut, _
Double S, _
Double SA, _
Double X, _
Long T, _
Long T2, _
Double r, _
Double b, _
Double v, _
String Greek)

=CT.EXO.LevyAsian(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel String Cell CallPut,
Excel Numeric Cell S,
Excel Numeric Cell SA,
Excel Numeric Cell X,
Excel Numeric Cell T,
Excel Numeric Cell T2,
Excel Numeric Cell r,
Excel Numeric Cell b,
Excel Numeric Cell v,
Excel String Cell Greek)

static double LevyAsian(
long ValueDate,
DayCountEnum dayCounter,
std::string CallPut,
double S,
double SA,
double X,
long T,
long T2,
double r,
double b,
double v,
std::string Greek);

System.Double CTExoticOptionsSA.LevyAsian(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.String CallPut,
System.Double S,
System.Double SA,
System.Double X,
System.Int32 T,
System.Int32 T2,
System.Double r,
System.Double b,
System.Double v,
System.String Greek);

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