SOLVETwoAssetBarrier

High level graphic of SOLVETwoAssetBarrier() 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. TypeFlag parameter
   
   
   This parameter cannot be solved for. Option Types cdi, cui, pdi, pui, cdo,cuo, pdo, puo
7. S1 parameter
   
   
   Underlying1 price
8. S2 parameter
   
   
   Underlying2 price
9. X parameter
   
   
   Strike price of the option
10. H parameter
    
    
    Continuous Barrier level
11. AdjBarrFreq parameter
    
    
    This parameter cannot be solved for. Monitoring frequency that you wish the continuous barrier level value entered to have. (Basically will convert the barrier from continuous to discrete. If you choose 'Continuously', the barrier will still be a Continuous barrier). Valid values are : Continuously, Hourly, Daily, Weekly or Monthly.
12. T parameter
    
    
    This parameter cannot be solved for. Time to option maturity.
13. 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.
14. b1 parameter
    
    
    For the first 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. b2 parameter
    
    
    For the second 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.
16. v1 parameter
    
    
    Volatility of the first underlying.
17. v2 parameter
    
    
    Volatility of the second underlying.
18. rho parameter
    
    
    Correlation between the two assets.
19. SolveFor parameter
    
    
    The parameter in which you would like to solve for.

Double CTOptionSolver.SOLVETwoAssetBarrier( _
Long ValueDate, _
DayCountEnum dayCounter, _
Double PremiumVal, _
String SolverKey, _
Double tolerance, _
String TypeFlag, _
Double S1, _
Double S2, _
Double X, _
Double H, _
String AdjBarrFreq, _
Long T, _
Double r, _
Double b1, _
Double b2, _
Double v1, _
Double v2, _
Double rho, _
String SolveFor)

=CT.SOLVETwoAssetBarrier(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel Numeric Cell PremiumVal,
Excel String Cell SolverKey,
Excel Numeric Cell tolerance,
Excel String Cell TypeFlag,
Excel Numeric Cell S1,
Excel Numeric Cell S2,
Excel Numeric Cell X,
Excel Numeric Cell H,
Excel String Cell AdjBarrFreq,
Excel Numeric Cell T,
Excel Numeric Cell r,
Excel Numeric Cell b1,
Excel Numeric Cell b2,
Excel Numeric Cell v1,
Excel Numeric Cell v2,
Excel Numeric Cell rho,
Excel String Cell SolveFor)

static double SOLVETwoAssetBarrier(
long ValueDate,
DayCountEnum dayCounter,
double PremiumVal,
std::string SolverKey,
double tolerance,
std::string TypeFlag,
double S1,
double S2,
double X,
double H,
std::string AdjBarrFreq,
long T,
double r,
double b1,
double b2,
double v1,
double v2,
double rho,
std::string SolveFor);

System.Double CTOptionSolverSA.SOLVETwoAssetBarrier(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.Double PremiumVal,
System.String SolverKey,
System.Double tolerance,
System.String TypeFlag,
System.Double S1,
System.Double S2,
System.Double X,
System.Double H,
System.String AdjBarrFreq,
System.Int32 T,
System.Double r,
System.Double b1,
System.Double b2,
System.Double v1,
System.Double v2,
System.Double rho,
System.String SolveFor);

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

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