Description Usage Arguments Value Examples
Calculates the net parameter value for a double vertical option spread
1 2 3 |
type |
Character String: "call" or "put" |
parameter |
Character String: "premium", "delta", "gamma", "vega", "theta", "rho" |
s |
Spot Price |
si |
Initial Spot Price |
x1 |
Option 1 Strike |
x2 |
Option 2 Strike |
x3 |
Option 3 Strike |
x4 |
Option 4 Strike |
v1 |
Option 1 Volatility |
v2 |
Option 2 Volatility |
v3 |
Option 3 Volatility |
v4 |
Option 4 Volatility |
ti |
Initial Years to Maturity |
t1 |
Option 1 years to maturity |
t2 |
Option 1 years to maturity |
t3 |
Option 1 years to maturity |
t4 |
Option 1 years to maturity |
r |
Annualized continuously compounded risk-free rate |
d |
Annualized continuously compounded dividend yield |
ls |
Numerical either 1 or -1 |
Returns a Numerical value
1 2 |
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