BlackModel (Function)

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The BlackModel function calculates the theoretical value of an option based on the Black option pricing model. BlackModel is designed to be used for European future options.

Syntax

BlackModel(DaysLeft, StrikePr, AssetPr, Rate100, Volty100, PutCall);

Returns (Double)

A numeric value representing the theoretical value of a European future option.

Parameters

Name	Type	Description
DaysLeft	Numeric	Sets the number of calendar days left until expiration of the option.
StrikePr	Numeric	Specifies the strike price of the option.
AssetPr	Numeric	Specifies the price of the underlying asset.
Rate100	Numeric	Sets the short-term risk free interest rate, usually the 90 day T-Bill, entered as a percent (enter 4.9 for 4.9%).
Volty100	Numeric	Sets the volatility of the underlying asset as a percent (enter 22.5 for 22.5%).
PutCall	Numeric	Specify if it is a Put or Call option. Put or 2 = Puts; Call or 3 = Calls.

Remarks

The input parameter DaysLeft can also be a numeric function such as DaystoExpiration or Next3rdFriday.
The input parameter Volty100 can also use a reserved word value such as IVolatility *100.

Example

Assigns to Value1 the theoretical price of a European future call option using the DaystoExpiration function to calculate the number of days left in the option until it expires in January of 2007 from today with the short-term 90-day T-Bill at 4.9%.