| BARRIER OPTIONS |
AdjustedBarrier
|
Convert an hourly, daily, weekly, or monthly barrier value to a continuous barrier value.
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BinaryBarrierAndStrike
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Calculate the price or Greeks for binary barrier options having payoffs that are received only at expiration.
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BinaryBarrierAndStrikePriceNGreeks
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Calculate the price and other derivatives for binary barrier options having payoffs that are received only at expiration.
(table-valued function) |
BinaryBarrierOnly
|
Calculate the price or Greeks for binary barrier options having payoffs that are received only at expiration.
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BinaryBarrierOnlyPriceNGreeks
|
Calculate the price and other derivatives for binary barrier options having payoffs that are received only at expiration.
(table-valued function) |
BinaryBarrierPayoutAtHit
|
Calculate the price or Greeks for binary barrier options having payoffs that are received the moment that the barrier is breached.
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BinaryBarrierPayoutAtHitPriceNGreeks
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Calculate the price and other derivatives for binary barrier options having payoffs that are received the moment that the barrier is breached.
(table-valued function) |
StandardBarrier
|
Calculate the price or Greeks of a European-style Knock-In or Knock-Out option.
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StandardBarrierPriceNGreeks
|
Calculate the price and Greeks of a European-style Knock-In or Knock-Out option.
(table-valued function) |
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| BINOMIAL TREES |
BinomialAmerican
|
Calculate the price, delta, gamma, theta, vega, rho, or lambda of an American option using the Binomial Tree option pricing formula.
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BinomialAmericanIV
|
Calculate the implied volatility of an American option using the Binomial Tree option pricing formula.
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BinomialEuro
|
Calculate the price, delta, gamma, theta, vega, rho, or lambda of a European option using the Binomial Tree option pricing formula.
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BinomialEuroIV
|
Calculate the implied volatility of a European option using the Binomial Tree option pricing formula.
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BinomialPriceNGreeks
|
Calculate the price, delta, gamma, theta, vega, rho, and lambda of European or American options using the Binomial Tree option pricing formula.
(table-valued function) |
BinomialTree
|
Return the option value, intrinsic value, and underlying value for each node on a binomial tree for an American or European option.
(table-valued function) |
sp_BinomialTree
|
Generate a result set of all the values in the binomial tree used to calculate the theoretical price of an option.
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| BJERKSUND STENSLAND |
BjerksundStensland
|
Calculate the price or Greeks of an American-style option using the Bjerksund and Stensland 2002 option pricing formula.
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BjerksundStenslandIV
|
Calculate an implied volatility for an American-style option using the Bjerksund and Stensland 2002 option pricing formula.
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BjerksundStenslandPriceNGreeks
|
Calculate to calculate the price and other derivatives of an American option using the Bjerksund & Stensland 2002 option pricing formula.
(table-valued function) |
| |
| BLACK SCHOLES |
BlackScholesMerton
|
Calculate the price or Greeks of a European option using the Black-Scholes-Merton option pricing formula.
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BlackScholesMertonIV
|
Calculate an implied volatility for a European-style option using the Black-Scholes-Merton option pricing formula.
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BlackScholesMertonPriceNGreeks
|
Calculate the price and other derivatives of a European option using the Black-Scholes-Merton option pricing formula.
(table-valued function) |
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| EQUITY OPTIONS |
BinomialDiscreteDividends
|
Calculate the price and Greeks of an American or European option paying discrete dividends using a Cox Ross Rubinstein Binomial as described in Options, Futures, and Other Derivatives, 8th Edition, by John C. †
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BinomialDiscreteDividendsIV
|
Calculate the implied volatility of American or European option paying discrete dividends using a Cox Ross Rubinstein Binomial as described in Options, Futures, and Other Derivatives, 8th Edition, by John C. †
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BinomialDiscreteDividendsPriceNGreeks
|
Calculate the price, delta, gamma, theta, vega, rho, and lambda of American and European options paying discrete dividends using a Cox Ross Rubinstein Binomial as described in Options, Futures, and Other Derivatives, 8th Edition, by John C. †
(table-valued function) |
BinomialDiscreteDividendsTree
|
Return the option value, intrinsic value, underlying value, and present value of the dividend amounts for each node on a binomial tree for an American or European option paying discrete dividends. †
(table-valued function) |
NonRecombiningTree
new! |
Calculate the price and Greeks of an American or European option paying discrete dividends using a non-recombining binomial tree. †
|
NonRecombiningTreeIV
new! |
Calculate the implied volatility of an American or European option paying discrete dividends using a non-recombining binomial tree. †
|
NonRecombiningTreePriceNGreeks
new! |
Calculate the price, delta, gamma, theta, vega, rho, and lambda of American and European options paying discrete dividends using a non-recombining tree. †
(table-valued function) |
ProportionalDividends
|
Calculate the price and Greeks of an American or European option paying proportional dividends using a Cox Ross Rubinstein Binomial. †
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ProportionalDividendsIV
|
Calculate the implied volatility of American or European option paying proportional dividends using a Cox Ross Rubinstein Binomial. †
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ProportionalDividendsPriceNGreeks
|
Calculate the price, delta, gamma, theta, vega, rho, and lambda of American and European options paying proportional dividends using a Cox Ross Rubinstein Binomial. †
(table-valued function) |
ProportionalDividendsTree
|
Return the option value, intrinsic value, and underlying value for each node on a binomial tree for an American or European option paying proportional dividends. †
(table-valued function) |
| |
| PERFORMANCE ANALYTICS |
OptionMatrix
|
Generate a result set of return values by varying two inputs into the calculated value.
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sp_OptionMatrix
|
Generate a result set of all return values by varying two inputs into the calculated value.
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OptionPLMatrix
|
Generate a result set of profit (loss) by varying two inputs into the theoretical value of the option.
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sp_OptionPLMatrix
|
Generate a result set of profit (loss) by varying two inputs into the theoretical value of the option.
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| MISC / OTHER |
XLDB_OPTIONS_VERSION
|
Return XLeratorDB / options version information.
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