SOLVETimeSwitchOption

High level graphic of SOLVETimeSwitchOption() 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. Strike parameter
   
   
   Strike price.
9. A parameter
   
   
   Notional amount. In a call (put) option, the investor accumulates dA*dt for each dt that the corresponding price Si dt has exceeded (was below) the strike price X.
10. TimeT parameter
    
    
    This parameter cannot be solved for. Time to maturity of the option.
11. m parameter
    
    
    If some of the options total lifetime has already passed, dm if the number of time units where the option has fulfilled its condition.
12. Timedt parameter
    
    
    This parameter cannot be solved for. Time unit in which the condition is tested for.
13. 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.
14. 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.
15. Vol parameter
    
    
    Volatility of the underlying.
16. SolveFor parameter
    
    
    The parameter in which you would like to solve for.

Double CTOptionSolver.SOLVETimeSwitchOption( _
Long ValueDate, _
DayCountEnum dayCounter, _
Double PremiumVal, _
String SolverKey, _
Double tolerance, _
String CallPut, _
Double Underlying, _
Double Strike, _
Double A, _
Long TimeT, _
Double m, _
Long Timedt, _
Double Rate, _
Double B, _
Double Vol, _
String SolveFor)

=CT.SOLVETimeSwitchOption(
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 Strike,
Excel Numeric Cell A,
Excel Numeric Cell TimeT,
Excel Numeric Cell m,
Excel Numeric Cell Timedt,
Excel Numeric Cell Rate,
Excel Numeric Cell B,
Excel Numeric Cell Vol,
Excel String Cell SolveFor)

static double SOLVETimeSwitchOption(
long ValueDate,
DayCountEnum dayCounter,
double PremiumVal,
std::string SolverKey,
double tolerance,
std::string CallPut,
double Underlying,
double Strike,
double A,
long TimeT,
double m,
long Timedt,
double Rate,
double B,
double Vol,
std::string SolveFor);

System.Double CTOptionSolverSA.SOLVETimeSwitchOption(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.Double PremiumVal,
System.String SolverKey,
System.Double tolerance,
System.String CallPut,
System.Double Underlying,
System.Double Strike,
System.Double A,
System.Int32 TimeT,
System.Double m,
System.Int32 Timedt,
System.Double Rate,
System.Double B,
System.Double Vol,
System.String SolveFor);

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

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