ED_BAX_Call() and ED_BAX

ED_BAX_Call() and ED_BAX_Put() functions

ED_BAX_Call() and ED_BAX_Put() functions

The functions in this category compute price, risk management statistics ("Greeks") and implied volatilities for options on Eurodollar (ED) or Bankers' Acceptance (BAX) futures. Note that the futures price and strike price are entered as prices per $100 notional, rather than as rates.

Both Eurodollar and BAX futures options have American-style exercise features, although it appears to be common practice to apply the Black-76 European model. The software allows a choice between European or 35-step binomial American models.

ED_BAX_Call(argument list…)

ED_BAX_Put(argument list…)

The first function is for call options and the second is for puts. The calling functions allow the user to choose from six different calculations, indexed by an alphabetic Output_Type switch:

P	option price
D	delta (derivative with respect to price)
G	gamma (second derivative with respect to price)
V	vega (derivative with respect to volatility, 1% change)
T	theta (time decay over next day)
I	implied yield volatility

An Output_Type may be entered in either upper or lower case, and the user many substitute the entire word for the first letter if so desired (only the first letter is scanned).

The functions use the following arguments:

Argument	Description	Restrictions
Output_Type	output returned by function	P, D, G, V, T or I (see above)
Valuation_Date	valuation date (e.g. today)	valid Excel date number
Contract_Date	date of the Eurodollar contract in question	valid Excel date number >= Valuation_Date
Futures_Price	futures price per $100 notional	< 100
Strike_Price	option strike per $100	< 100
Interest_Rate	financing riskfree rate in decimal form (e.g. six percent entered as 0.06) as a continuously compounded rate	> 0
Yield_Vol or Option_Price	yield volatility in decimal form, or market price of the cap/floor (when Output_Type = I)	> 0
Exercise_Style	exercise style of the option	E = European A = American (case insensitive)