FUT_OptionsOnOptions




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CapeTools Futures Option Portfolio function list

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Option on a plain vanilla option, call on call, call on put, put on call, put on put.

This function utilizes an analytical (closed-form) algorithm.

Note that the risk (greek) numbers produced are the mathematically defined equivalent of a derivative (instantaneous change).

You can convert the risk number to your own definition of risk by multiplying by the shift you require.

For example, for a typical definition of VANNA, (change in underlying and volatility), where one defines the change in the underlying as a single unit of change (1.0) and the change in volatility as a one percent change (0.01), simply multiply the VANNA result calculated by (1.0*0.01).

For VEGA, change in volatility of one percent (0.01), simply multiply the VEGA result by 0.01. Within option contracts THETA is negative, however the mathematically defined equivalent of THETA (instantaneous FORWARD change in time) is positive.

Internally we have negated this value for you.

To express THETA as THETA per day, simply multiply the THETA result by 1/365 or 1/252 (depending on whether you require calendar days or business days).

This function stores a portfolio of options on futures in memory and returns a key.

This allows you to price or query the portfolio for different value dates via just the portfolio key.

You can price the portfolio via the PriceOptionBook() function.

You can view the trades within the portfolio via the DisplayOptionBook() function.

The DisplayOptionBook() function allows you to sort the portfolio using any column (or combination of columns).

A column is simply the NAME of any of the parameters within this function (excluding the 'TradeKey' and 'Reload' parameters).

In addition you can create a new portfolio object from this object by grouping trades within the portfolio, for example by Currency, Units, Sector etc..., using the GroupOptionBook() function.

You simply provide the NAME of the parameters that you wish to group.

Groups can represent more than one column and thus enables you to price a portion of the portfolio (a group) using the same PriceOptionBook() function.

You can view the grouped names within the grouped portfolio via the DisplayOptionGroups() function.

You can view the trades within a group via the DisplayGRPOptionBook() function.

Furthermore you can create a new portfolio from this portfolio object by selecting a portion of the trades (via a sql-like language).

Again this portfolio can be priced via the PriceOptionBook() function.

You can also execute the WriteXLRange(), WriteXLRange2() or WriteXLRange3() and the corresponding ReadXLRange(), ReadXLRange2() or ReadXLRange3() functions in order to read and write the portfolio data to file (XML).

WriteXLRange2() is preferable as you can save each of the ranges of this function to different slots (total of 15) within the XML file.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "FUT_OptionsOnOptions"



Note: Within Excel, the function is named - CT.FUT_OptionsOnOptions


High level graphic of FUT_OptionsOnOptions() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. TradeKey parameter

    User Handle used to retrieve the object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when recomputing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. ID parameter

    Identifier of deal. Used in order to index within the portfolio.
  4. TAG parameter

    User defined Tag. The information within this column can be used within the 'CapeTools Select Sub-Portfolios' or 'CapeTools Group Sub-Portfolios' categories of functions.
  5. Ccy parameter

    Currency of the portfolio.
  6. Units parameter

    Number of option contracts you wish to trade in (positive value).
  7. Position parameter

    Whether you are long or short the option.
  8. OOType parameter

    Option Types - CC, CP, PC, PP
  9. Underlying parameter

    Underlying price, curve
  10. Strike1 parameter

    Strike price of the underlying (first) option.
  11. Strike2 parameter

    Strike price of the second option.
  12. Timet1 parameter

    Expiration date of the first option.
  13. TimeT parameter

    Expiration date of the second option.
  14. 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.
  15. Vol parameter

    Volatility of the underlying.


Extended information

Function Syntax

VB Syntax 


String CTFuturesOptionPortfolio.FUT_OptionsOnOptions( _
String TradeKey, _
Long Reload, _
Variant ID, _
Variant TAG, _
Variant Ccy, _
Variant Units, _
Variant Position, _
Variant OOType, _
Variant Underlying, _
Variant Strike1, _
Variant Strike2, _
Variant Timet1, _
Variant TimeT, _
Variant Rate, _
Variant Vol)


Excel Spreadsheet Syntax 


=CT.FUT_OptionsOnOptions(
Excel String Cell TradeKey,
Excel Numeric Cell Reload,
XLRange ID,
XLRange TAG,
XLRange Ccy,
XLRange Units,
XLRange Position,
XLRange OOType,
XLRange Underlying,
XLRange Strike1,
XLRange Strike2,
XLRange Timet1,
XLRange TimeT,
XLRange Rate,
XLRange Vol)


C++ Syntax 


static std::string FUT_OptionsOnOptions(
std::string TradeKey,
long Reload,
CTRangeDataCPP ID,
CTRangeDataCPP TAG,
CTRangeDataCPP Ccy,
CTRangeDataCPP Units,
CTRangeDataCPP Position,
CTRangeDataCPP OOType,
CTRangeDataCPP Underlying,
CTRangeDataCPP Strike1,
CTRangeDataCPP Strike2,
CTRangeDataCPP Timet1,
CTRangeDataCPP TimeT,
CTRangeDataCPP Rate,
CTRangeDataCPP Vol);


DotNET Syntax 


System.String CTFuturesOptionPortfolioSA.FUT_OptionsOnOptions(
System.String TradeKey,
System.Int32 Reload,
CTRangeData ID,
CTRangeData TAG,
CTRangeData Ccy,
CTRangeData Units,
CTRangeData Position,
CTRangeData OOType,
CTRangeData Underlying,
CTRangeData Strike1,
CTRangeData Strike2,
CTRangeData Timet1,
CTRangeData TimeT,
CTRangeData Rate,
CTRangeData Vol);

Parameter data types

ArgNameArgTypeIsKey
TradeKeyStringFALSE
ReloadLongFALSE
IDRangeFALSE
TAGRangeFALSE
CcyRangeFALSE
UnitsRangeFALSE
PositionRangeFALSE
OOTypeRangeFALSE
UnderlyingRangeFALSE
Strike1RangeFALSE
Strike2RangeFALSE
Timet1RangeFALSE
TimeTRangeFALSE
RateRangeFALSE
VolRangeFALSE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
TradeKeyFALSEMyFUT_OptionsOnOptionsDeal
ReloadFALSE1
IDFALSEFUT_OptionsOnOptions_ID_Range (creates a range object)
TAGFALSEFUT_OptionsOnOptions_TAG_Range (creates a range object)
CcyFALSEFUT_OptionsOnOptions_Ccy_Range (creates a range object)
UnitsFALSEFUT_OptionsOnOptions_Units_Range (creates a range object)
PositionFALSEFUT_OptionsOnOptions_Position_Range (creates a range object)
OOTypeFALSEFUT_OptionsOnOptions_OOType_Range (creates a range object)
UnderlyingFALSEFUT_OptionsOnOptions_Underlying_Range (creates a range object)
Strike1FALSEFUT_OptionsOnOptions_Strike1_Range (creates a range object)
Strike2FALSEFUT_OptionsOnOptions_Strike2_Range (creates a range object)
Timet1FALSEFUT_OptionsOnOptions_Timet1_Range (creates a range object)
TimeTFALSEFUT_OptionsOnOptions_TimeT_Range (creates a range object)
RateFALSEFUT_OptionsOnOptions_Rate_Range (creates a range object)
VolFALSEFUT_OptionsOnOptions_Vol_Range (creates a range object)


Example range for parameter : ID

Within Excel, a range such as this can be passed directly into the ID parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : ID 


CTQL.CTRangeData FUT_OptionsOnOptions_ID;


string[] arrBFUT_OptionsOnOptions_ID = {
"DEAL-11",
"DEAL-12",
"DEAL-13",
"DEAL-14",
"DEAL-15",
"DEAL-16",
"DEAL-17",
"DEAL-18",
"DEAL-19",
"DEAL-20",
"DEAL-21",
"DEAL-22",
"DEAL-23",
"DEAL-24",
"DEAL-25",
"DEAL-26",
"DEAL-27",
"DEAL-28",
"DEAL-29",
"DEAL-30"  //  Array Data

};

CTQL.StringVector arrFUT_OptionsOnOptions_ID =
new  CTQL.StringVector(arrBFUT_OptionsOnOptions_ID);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_ID = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_ID, false);

Example range for parameter : TAG

Within Excel, a range such as this can be passed directly into the TAG parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : TAG 


CTQL.CTRangeData FUT_OptionsOnOptions_TAG;


string[] arrBFUT_OptionsOnOptions_TAG = {
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG1",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2",
"TAG2"  //  Array Data

};

CTQL.StringVector arrFUT_OptionsOnOptions_TAG =
new  CTQL.StringVector(arrBFUT_OptionsOnOptions_TAG);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_TAG = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_TAG, false);

Example range for parameter : Ccy

Within Excel, a range such as this can be passed directly into the Ccy parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Ccy 


CTQL.CTRangeData FUT_OptionsOnOptions_Ccy;


string[] arrBFUT_OptionsOnOptions_Ccy = {
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"EUR",
"GBP",
"GBP"  //  Array Data

};

CTQL.StringVector arrFUT_OptionsOnOptions_Ccy =
new  CTQL.StringVector(arrBFUT_OptionsOnOptions_Ccy);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_Ccy = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_Ccy, false);

Example range for parameter : Units

Within Excel, a range such as this can be passed directly into the Units parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Units 


CTQL.CTRangeData FUT_OptionsOnOptions_Units;


int[] arrBFUT_OptionsOnOptions_Units = {
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1,
1  //  Array Data

};

CTQL.IntVector arrFUT_OptionsOnOptions_Units =
new  CTQL.IntVector(arrBFUT_OptionsOnOptions_Units);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_Units = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_Units, false);

Example range for parameter : Position

Within Excel, a range such as this can be passed directly into the Position parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Position 


CTQL.CTRangeData FUT_OptionsOnOptions_Position;


string[] arrBFUT_OptionsOnOptions_Position = {
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG",
"LONG"  //  Array Data

};

CTQL.StringVector arrFUT_OptionsOnOptions_Position =
new  CTQL.StringVector(arrBFUT_OptionsOnOptions_Position);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_Position = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_Position, false);

Example range for parameter : OOType

Within Excel, a range such as this can be passed directly into the OOType parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : OOType 


CTQL.CTRangeData FUT_OptionsOnOptions_OOType;


string[] arrBFUT_OptionsOnOptions_OOType = {
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC",
"CC"  //  Array Data

};

CTQL.StringVector arrFUT_OptionsOnOptions_OOType =
new  CTQL.StringVector(arrBFUT_OptionsOnOptions_OOType);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_OOType = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_OOType, false);

Example range for parameter : Underlying

Within Excel, a range such as this can be passed directly into the Underlying parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Underlying 


CTQL.CTRangeData FUT_OptionsOnOptions_Underlying;


int[] arrBFUT_OptionsOnOptions_Underlying = {
527,
480,
542,
542,
451,
485,
512,
489,
456,
458,
465,
452,
535,
542,
465,
509,
506,
522,
473,
500  //  Array Data

};

CTQL.IntVector arrFUT_OptionsOnOptions_Underlying =
new  CTQL.IntVector(arrBFUT_OptionsOnOptions_Underlying);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_Underlying = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_Underlying, false);

Example range for parameter : Strike1

Within Excel, a range such as this can be passed directly into the Strike1 parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Strike1 


CTQL.CTRangeData FUT_OptionsOnOptions_Strike1;


int[] arrBFUT_OptionsOnOptions_Strike1 = {
570,
477,
479,
492,
541,
515,
534,
468,
528,
522,
532,
542,
546,
509,
476,
504,
470,
495,
548,
520  //  Array Data

};

CTQL.IntVector arrFUT_OptionsOnOptions_Strike1 =
new  CTQL.IntVector(arrBFUT_OptionsOnOptions_Strike1);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_Strike1 = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_Strike1, false);

Example range for parameter : Strike2

Within Excel, a range such as this can be passed directly into the Strike2 parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Strike2 


CTQL.CTRangeData FUT_OptionsOnOptions_Strike2;


int[] arrBFUT_OptionsOnOptions_Strike2 = {
48,
51,
50,
53,
45,
48,
51,
45,
49,
45,
49,
47,
48,
50,
46,
46,
48,
50,
54,
50  //  Array Data

};

CTQL.IntVector arrFUT_OptionsOnOptions_Strike2 =
new  CTQL.IntVector(arrBFUT_OptionsOnOptions_Strike2);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_Strike2 = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_Strike2, false);

Example range for parameter : Timet1

Within Excel, a range such as this can be passed directly into the Timet1 parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Timet1 


CTQL.CTRangeData FUT_OptionsOnOptions_Timet1;


int[] arrBFUT_OptionsOnOptions_Timet1 = {
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("18/10/2005", "dd/mm/yyyy")  //  Array Data

};

CTQL.IntVector arrFUT_OptionsOnOptions_Timet1 =
new  CTQL.IntVector(arrBFUT_OptionsOnOptions_Timet1);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_Timet1 = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_Timet1, false);

Example range for parameter : TimeT

Within Excel, a range such as this can be passed directly into the TimeT parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : TimeT 


CTQL.CTRangeData FUT_OptionsOnOptions_TimeT;


int[] arrBFUT_OptionsOnOptions_TimeT = {
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy"),
CTQL.Date.serialNumber("17/1/2006", "dd/mm/yyyy")  //  Array Data

};

CTQL.IntVector arrFUT_OptionsOnOptions_TimeT =
new  CTQL.IntVector(arrBFUT_OptionsOnOptions_TimeT);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_TimeT = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_TimeT, false);

Example range for parameter : Rate

Within Excel, a range such as this can be passed directly into the Rate parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Rate 


CTQL.CTRangeData FUT_OptionsOnOptions_Rate;


double[] arrBFUT_OptionsOnOptions_Rate = {
0.0739,
0.0784,
0.0771,
0.088,
0.0818,
0.0878,
0.0825,
0.0873,
0.0729,
0.0872,
0.0743,
0.0818,
0.0877,
0.0842,
0.0748,
0.0776,
0.0803,
0.0737,
0.0803,
0.08  //  Array Data

};

CTQL.DoubleVector arrFUT_OptionsOnOptions_Rate =
new  CTQL.DoubleVector(arrBFUT_OptionsOnOptions_Rate);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_Rate = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_Rate, false);

Example range for parameter : Vol

Within Excel, a range such as this can be passed directly into the Vol parameter.


Data is stored within the second column (Vector of data)..

Example C# API usage for setting the range data for parameter : Vol 


CTQL.CTRangeData FUT_OptionsOnOptions_Vol;


double[] arrBFUT_OptionsOnOptions_Vol = {
0.3404,
0.3571,
0.3499,
0.344,
0.3527,
0.3491,
0.3754,
0.3503,
0.3824,
0.3415,
0.3814,
0.3301,
0.3269,
0.3839,
0.3635,
0.3537,
0.3644,
0.3841,
0.3225,
0.35  //  Array Data

};

CTQL.DoubleVector arrFUT_OptionsOnOptions_Vol =
new  CTQL.DoubleVector(arrBFUT_OptionsOnOptions_Vol);

// Second parameter determines whether the array is a column array (false) or a row array (true)
FUT_OptionsOnOptions_Vol = new  CTQL.CTRangeData(arrFUT_OptionsOnOptions_Vol, false);


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.OptionPortfolios20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the FUT_OptionsOnOptions() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.


The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the FUT_OptionsOnOptions() function call


MyFUT_OptionsOnOptionsDeal_10.FUT_OptionsOnOptions.0

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