SOLVELevyAsian

High level graphic of SOLVELevyAsian() 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. S parameter
   
   
   Underlying price
8. SA parameter
   
   
   Arithmetic average of the known asset price fixings.
9. X parameter
   
   
   Strike price of the option
10. T parameter
    
    
    This parameter cannot be solved for. Original time to option maturity.
11. T2 parameter
    
    
    This parameter cannot be solved for. Remaining time to option maturity.
12. 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.
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. Cannot be equal to zero (0.0)
14. v parameter
    
    
    Volatility of the underlying.
15. SolveFor parameter
    
    
    The parameter in which you would like to solve for.

Double CTOptionSolver.SOLVELevyAsian( _
Long ValueDate, _
DayCountEnum dayCounter, _
Double PremiumVal, _
String SolverKey, _
Double tolerance, _
String CallPut, _
Double S, _
Double SA, _
Double X, _
Long T, _
Long T2, _
Double r, _
Double b, _
Double v, _
String SolveFor)

=CT.SOLVELevyAsian(
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 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 SolveFor)

static double SOLVELevyAsian(
long ValueDate,
DayCountEnum dayCounter,
double PremiumVal,
std::string SolverKey,
double tolerance,
std::string CallPut,
double S,
double SA,
double X,
long T,
long T2,
double r,
double b,
double v,
std::string SolveFor);

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

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

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