SOLVESpreadApproximation

High level graphic of SOLVESpreadApproximation() 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. F1 parameter
   
   
   Futures price of the first underlying
8. F2 parameter
   
   
   Futures price of the second underlying
9. Strike parameter
   
   
   Option strike price.
10. Time parameter
    
    
    This parameter cannot be solved for. Time to expiration 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. Vol1 parameter
    
    
    Volatility of the underlying dF1.
13. Vol2 parameter
    
    
    Volatility of the underlying dF2.
14. Rho parameter
    
    
    Correlation between the two assets.
15. SolveFor parameter
    
    
    The parameter in which you would like to solve for.

Double CTOptionSolver.SOLVESpreadApproximation( _
Long ValueDate, _
DayCountEnum dayCounter, _
Double PremiumVal, _
String SolverKey, _
Double tolerance, _
String CallPut, _
Double F1, _
Double F2, _
Double Strike, _
Long Time, _
Double Rate, _
Double Vol1, _
Double Vol2, _
Double Rho, _
String SolveFor)

=CT.SOLVESpreadApproximation(
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 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 SolveFor)

static double SOLVESpreadApproximation(
long ValueDate,
DayCountEnum dayCounter,
double PremiumVal,
std::string SolverKey,
double tolerance,
std::string CallPut,
double F1,
double F2,
double Strike,
long Time,
double Rate,
double Vol1,
double Vol2,
double Rho,
std::string SolveFor);

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

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

• Example VB.NET Driver function. Preparing the parameters and the final function call (the result).
• Example C# Driver function. Preparing the parameters, sub-function calls and the final function call (the result).
• Example C++.NET Driver function. Preparing the parameters and the final function call (the result).
• Example J# Driver function. Preparing the parameters and the final function call (the result).

• Example Visual Basic 6 Driver function. Preparing the parameters and the final function call (the result).
• Example Excel VBA Driver function. Preparing the parameters and the final function call (the result).
• 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).