SpreadApproximation

High level graphic of SpreadApproximation() 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. F1 parameter
   
   
   Futures price of the first underlying
5. F2 parameter
   
   
   Futures price of the second underlying
6. Strike parameter
   
   
   Option strike price.
7. Time parameter
   
   
   Time to expiration of the option.
8. 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.
9. Vol1 parameter
   
   
   Volatility of the underlying dF1.
10. Vol2 parameter
    
    
    Volatility of the underlying dF2.
11. Rho parameter
    
    
    Correlation between the two assets.
12. Greek parameter
    
    
    For the option premium specify 'PREMIUM'. For all first derivatives, you can specify one of the following : 'dF1' (for the 'F1' parameter), 'dF2' (for the 'F2' parameter), 'dStrike' (for the 'Strike' parameter), 'dTime' (for the 'Time' parameter), 'dRate' (for the 'Rate' parameter), 'dVol1' (for the 'Vol1' parameter), 'dVol2' (for the 'Vol2' parameter), 'dRho' (for the 'Rho' parameter), For second order derivatives, you can specify combinations of the first order derivatives (i.e. - 'dF1dF1', 'dVol1dVol1', 'dF1dVol1'. )

Double CTExoticOptions.SpreadApproximation( _
Long ValueDate, _
DayCountEnum dayCounter, _
String CallPut, _
Double F1, _
Double F2, _
Double Strike, _
Long Time, _
Double Rate, _
Double Vol1, _
Double Vol2, _
Double Rho, _
String Greek)

=CT.EXO.SpreadApproximation(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel String Cell CallPut,
Excel Numeric Cell F1,
Excel Numeric Cell F2,
Excel Numeric Cell Strike,
Excel Numeric Cell Time,
Excel Numeric Cell Rate,
Excel Numeric Cell Vol1,
Excel Numeric Cell Vol2,
Excel Numeric Cell Rho,
Excel String Cell Greek)

static double SpreadApproximation(
long ValueDate,
DayCountEnum dayCounter,
std::string CallPut,
double F1,
double F2,
double Strike,
long Time,
double Rate,
double Vol1,
double Vol2,
double Rho,
std::string Greek);

System.Double CTExoticOptionsSA.SpreadApproximation(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.String CallPut,
System.Double F1,
System.Double F2,
System.Double Strike,
System.Int32 Time,
System.Double Rate,
System.Double Vol1,
System.Double Vol2,
System.Double Rho,
System.String Greek);

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