SOLVEExtremeSpreadOption

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

1. ValueDate parameter
   
   
   This parameter cannot be solved for. Valuation Date (typically equal to Today's date)
2. dayCounter parameter
   
   
   This parameter cannot be solved for. 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. PremiumVal parameter
   
   
   This parameter cannot be solved for. Premium Value that will be tested against.
4. SolverKey parameter
   
   
   This parameter cannot be solved for. Key to an already created Solver object (Within the 'CapeTools One-Dimensional Solvers' category of functions).
5. tolerance parameter
   
   
   This parameter cannot be solved for. tolerance (ie - 0.0001).
6. ExtremeType parameter
   
   
   This parameter cannot be solved for. Option Types 1=SC, 2=SP, 3=RSC, 4=RSP
7. Underlying parameter
   
   
   Underlying price
8. Smin parameter
   
   
   Minimum underlying price observed thus far
9. Smax parameter
   
   
   Maximum underlying price observed thus far
10. Timet1 parameter
    
    
    This parameter cannot be solved for. First period, starting Today and ending at dTimet1. Specify the value of dTimet1 here.
11. TimeT2 parameter
    
    
    This parameter cannot be solved for. Second period, starting at dTimet1 and ending at dTimeT2. Specify the value of dTimeT2 here.
12. 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.
13. 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.
14. Vol parameter
    
    
    Volatility of the underlying.
15. SolveFor parameter
    
    
    The parameter in which you would like to solve for.

Double CTOptionSolver.SOLVEExtremeSpreadOption( _
Long ValueDate, _
DayCountEnum dayCounter, _
Double PremiumVal, _
String SolverKey, _
Double tolerance, _
Long ExtremeType, _
Double Underlying, _
Double Smin, _
Double Smax, _
Long Timet1, _
Long TimeT2, _
Double Rate, _
Double B, _
Double Vol, _
String SolveFor)

=CT.SOLVEExtremeSpreadOption(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel Numeric Cell PremiumVal,
Excel String Cell SolverKey,
Excel Numeric Cell tolerance,
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 SolveFor)

static double SOLVEExtremeSpreadOption(
long ValueDate,
DayCountEnum dayCounter,
double PremiumVal,
std::string SolverKey,
double tolerance,
long ExtremeType,
double Underlying,
double Smin,
double Smax,
long Timet1,
long TimeT2,
double Rate,
double B,
double Vol,
std::string SolveFor);

System.Double CTOptionSolverSA.SOLVEExtremeSpreadOption(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.Double PremiumVal,
System.String SolverKey,
System.Double tolerance,
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 SolveFor);

• Brent() ( CT.QL.Models20 )
• SOLVEExtremeSpreadOption() ( CT.QL.Pricing20 )

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