Prototype
Function opt_cir_lattice(a As Double,
b As Double,
c As Double,
bond_mat As Double,
n_steps As Long,
r As Double,
face_value As Double,
coupon_rate As Double,
strike As Double,
opt_mat As Double,
putcall As Long,
method As Long) As Variant
Description
This function calculates the values of American and European interest rate options using the Cox, Ingersoll and Ross method.
Arguments
bond_mat - Double : The bond maturity in years.
a - Double : The CIR parameter a.
b - Double : The CIR parameter b.
c - Double : The CIR parameter c.
bond_mat - Double : The maturity of the bond in years.
n_steps - Long : The number of time steps to be used in the lattice.
r - Double : The current short term, continuously compounded, interest rate.
face_value - Double : The face value of the bond.
coupon_rate - Double : The coupon rate.
strike - Double : The strike proce.
opt_mat - Double : The option maturity in years.
putcall - Long : Indicates whether the option is a put or call.
If putcall = 0 then the option is a call , if putcall = 1 then it is a put.
method - Long : If method = 0 then the option is European,
If method = 1 then it is American.
Note : For this routine only method < 2 is valid.
putcall As Long,
Returned Values
The order of the returned values is : bond value, option value.
Other Information
Information on enumeration types
List of available routines