SOLVEForwardStartOption

High level graphic of SOLVEForwardStartOption() 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. CallPut parameter
   
   
   This parameter cannot be solved for. Option Types (C)all or (P)ut
7. Underlying parameter
   
   
   Underlying price, curve
8. Alpha parameter
   
   
   Factor indicating how in or out of the money the option will start.
9. Time1 parameter
   
   
   This parameter cannot be solved for. The time at which the strike is set equal to a positive constant alpha, times the asset price, S.
10. TimeT parameter
    
    
    This parameter cannot be solved for. Time to maturity of the option.
11. 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.
12. 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.
13. Vol parameter
    
    
    Volatility of the underlying.
14. SolveFor parameter
    
    
    The parameter in which you would like to solve for.

Double CTOptionSolver.SOLVEForwardStartOption( _
Long ValueDate, _
DayCountEnum dayCounter, _
Double PremiumVal, _
String SolverKey, _
Double tolerance, _
String CallPut, _
Double Underlying, _
Double Alpha, _
Long Time1, _
Long TimeT, _
Double Rate, _
Double B, _
Double Vol, _
String SolveFor)

=CT.SOLVEForwardStartOption(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel Numeric Cell PremiumVal,
Excel String Cell SolverKey,
Excel Numeric Cell tolerance,
Excel String Cell CallPut,
Excel Numeric Cell Underlying,
Excel Numeric Cell Alpha,
Excel Numeric Cell Time1,
Excel Numeric Cell TimeT,
Excel Numeric Cell Rate,
Excel Numeric Cell B,
Excel Numeric Cell Vol,
Excel String Cell SolveFor)

static double SOLVEForwardStartOption(
long ValueDate,
DayCountEnum dayCounter,
double PremiumVal,
std::string SolverKey,
double tolerance,
std::string CallPut,
double Underlying,
double Alpha,
long Time1,
long TimeT,
double Rate,
double B,
double Vol,
std::string SolveFor);

System.Double CTOptionSolverSA.SOLVEForwardStartOption(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.Double PremiumVal,
System.String SolverKey,
System.Double tolerance,
System.String CallPut,
System.Double Underlying,
System.Double Alpha,
System.Int32 Time1,
System.Int32 TimeT,
System.Double Rate,
System.Double B,
System.Double Vol,
System.String SolveFor);

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

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• 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).