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XLeratorDB/financial-options Documentation
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Financial-Options Functions Index ...
Barrier Options
AdjustedBarrier - convert an hourly, daily, weekly, or monthly barrier value to a continuous barrier value
BinaryBarrierAndStrike - price or Greeks for binary barrier options having payoffs that are received only at expiration
BinaryBarrierAndStrikePriceNGreeks - price and other derivatives for binary barrier options having payoffs that are received only at expiration
BinaryBarrierOnly - price or Greeks for binary barrier options having payoffs that are received only at expiration
BinaryBarrierOnlyPriceNGreeks - price and other derivatives for binary barrier options having payoffs that are received only at expiration
BinaryBarrierPayoutAtHit - price or Greeks for binary barrier options having payoffs that are received the moment that the barrier is breached
BinaryBarrierPayoutAtHitPriceNGreeks - price and other derivatives for binary barrier options having payoffs that are received the moment that the barrier is breached
StandardBarrier - price or Greeks of a European-style Knock-In or Knock-Out option
StandardBarrierPriceNGreeks - price and Greeks of a European-style Knock-In or Knock-Out option
Binomial Trees
BinomialAmerican - price, delta, gamma, theta, vega, rho, or lambda of an American option using the Binomial Tree option pricing formula
BinomialAmericanIV - implied volatility of an American option using the Binomial Tree option pricing formula
BinomialEuro - price, delta, gamma, theta, vega, rho, or lambda of a European option using the Binomial Tree option pricing formula
BinomialEuroIV - implied volatility of a European option using the Binomial Tree option pricing formula
BinomialPriceNGreeks - price, delta, gamma, theta, vega, rho, and lambda of European or American options using the Binomial Tree option pricing formula
BinomialTree - option value, intrinsic value, and underlying value for each node on a binomial tree for an American or European option
sp_BinomialTree - result set of all the values in the binomial tree used to calculate the theoretical price of an option
Bjerksund Stensland
BjerksundStensland - price or Greeks of an American-style option using the Bjerksund and Stensland 2002 option pricing formula
BjerksundStenslandIV - implied volatility for an American-style option using the Bjerksund and Stensland 2002 option pricing formula
BjerksundStenslandPriceNGreeks - price and other derivatives of an American option using the Bjerksund & Stensland 2002 option pricing formula
Black Scholes
BlackScholesMerton - price or Greeks of a European option using the Black-Scholes-Merton option pricing formula
BlackScholesMertonIV - implied volatility for a European-style option using the Black-Scholes-Merton option pricing formula
BlackScholesMertonPriceNGreeks - price and other derivatives of a European option using the Black-Scholes-Merton option pricing formula
Equity Options
BinomialDiscreteDividends - 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
BinomialDiscreteDividendsIV - 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
BinomialDiscreteDividendsPriceNGreeks - 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
BinomialDiscreteDividendsTree - 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
NonRecombiningTree - price and Greeks of an American or European option paying discrete dividends using a non-recombining binomial tree
NonRecombiningTreeIV - implied volatility of an American or European option paying discrete dividends using a non-recombining binomial tree
NonRecombiningTreePriceNGreeks - price, delta, gamma, theta, vega, rho, and lambda of American and European options paying discrete dividends using a non-recombining tree
ProportionalDividends - price and Greeks of an American or European option paying proportional dividends using a Cox Ross Rubinstein Binomial
ProportionalDividendsIV - implied volatility of American or European option paying proportional dividends using a Cox Ross Rubinstein Binomial
ProportionalDividendsPriceNGreeks - price, delta, gamma, theta, vega, rho, and lambda of American and European options paying proportional dividends using a Cox Ross Rubinstein Binomial
ProportionalDividendsTree - option value, intrinsic value, and underlying value for each node on a binomial tree for an American or European option paying proportional dividends
Performance Analytics
OptionMatrix - result set of return values by varying two inputs into the calculated value
sp_OptionMatrix - result set of all return values by varying two inputs into the calculated value
OptionPLMatrix - result set of profit (loss) by varying two inputs into the theoretical value of the option
sp_OptionPLMatrix - result set of profit (loss) by varying two inputs into the theoretical value of the option
Misc
XLDB_OPTIONS_VERSION - XLeratorDB / options version information
ALL FUNCTIONS (alpahbetical)
AdjustedBarrier - convert an hourly, daily, weekly, or monthly barrier value to a continuous barrier value
BinaryBarrierAndStrike - price or Greeks for binary barrier options having payoffs that are received only at expiration
BinaryBarrierAndStrikePriceNGreeks - price and other derivatives for binary barrier options having payoffs that are received only at expiration
BinaryBarrierOnly - price or Greeks for binary barrier options having payoffs that are received only at expiration
BinaryBarrierOnlyPriceNGreeks - price and other derivatives for binary barrier options having payoffs that are received only at expiration
BinaryBarrierPayoutAtHit - price or Greeks for binary barrier options having payoffs that are received the moment that the barrier is breached
BinaryBarrierPayoutAtHitPriceNGreeks - price and other derivatives for binary barrier options having payoffs that are received the moment that the barrier is breached
BinomialAmerican - price, delta, gamma, theta, vega, rho, or lambda of an American option using the Binomial Tree option pricing formula
BinomialAmericanIV - implied volatility of an American option using the Binomial Tree option pricing formula
BinomialDiscreteDividends - 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
BinomialDiscreteDividendsIV - 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
BinomialDiscreteDividendsPriceNGreeks - 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
BinomialDiscreteDividendsTree - 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
BinomialEuro - price, delta, gamma, theta, vega, rho, or lambda of a European option using the Binomial Tree option pricing formula
BinomialEuroIV - implied volatility of a European option using the Binomial Tree option pricing formula
BinomialPriceNGreeks - price, delta, gamma, theta, vega, rho, and lambda of European or American options using the Binomial Tree option pricing formula
BinomialTree - option value, intrinsic value, and underlying value for each node on a binomial tree for an American or European option
BjerksundStensland - price or Greeks of an American-style option using the Bjerksund and Stensland 2002 option pricing formula
BjerksundStenslandIV - implied volatility for an American-style option using the Bjerksund and Stensland 2002 option pricing formula
BjerksundStenslandPriceNGreeks - price and other derivatives of an American option using the Bjerksund & Stensland 2002 option pricing formula
BlackScholesMerton - price or Greeks of a European option using the Black-Scholes-Merton option pricing formula
BlackScholesMertonIV - implied volatility for a European-style option using the Black-Scholes-Merton option pricing formula
BlackScholesMertonPriceNGreeks - price and other derivatives of a European option using the Black-Scholes-Merton option pricing formula
NonRecombiningTree - price and Greeks of an American or European option paying discrete dividends using a non-recombining binomial tree
NonRecombiningTreeIV - implied volatility of an American or European option paying discrete dividends using a non-recombining binomial tree
NonRecombiningTreePriceNGreeks - price, delta, gamma, theta, vega, rho, and lambda of American and European options paying discrete dividends using a non-recombining tree
OptionMatrix - result set of return values by varying two inputs into the calculated value
OptionPLMatrix - result set of profit (loss) by varying two inputs into the theoretical value of the option
ProportionalDividends - price and Greeks of an American or European option paying proportional dividends using a Cox Ross Rubinstein Binomial
ProportionalDividendsIV - implied volatility of American or European option paying proportional dividends using a Cox Ross Rubinstein Binomial
ProportionalDividendsPriceNGreeks - price, delta, gamma, theta, vega, rho, and lambda of American and European options paying proportional dividends using a Cox Ross Rubinstein Binomial
ProportionalDividendsTree - option value, intrinsic value, and underlying value for each node on a binomial tree for an American or European option paying proportional dividends
sp_BinomialTree - result set of all the values in the binomial tree used to calculate the theoretical price of an option
sp_OptionMatrix - result set of all return values by varying two inputs into the calculated value
sp_OptionPLMatrix - result set of profit (loss) by varying two inputs into the theoretical value of the option
StandardBarrier - price or Greeks of a European-style Knock-In or Knock-Out option
StandardBarrierPriceNGreeks - price and Greeks of a European-style Knock-In or Knock-Out option
XLDB_OPTIONS_VERSION - XLeratorDB / options version information
CoVariance
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