Commodity and Equity Index Option Pricing Case Study

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The Commodity and Equity Index Option Pricing template provides functions for holiday management, risk-free rate curve construction, commodity and equity index volatility surface construction, option object creation, option pricing, and Greek value calculation. It enables precise modeling, pricing, and risk analysis of commodity and equity index options.
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Commodity and Equity Index Option Pricing Template: Function Descriptions

1. Holiday Calendar Construction Functions

McpCalendar: Constructs a holiday calendar object for one or more currency pairs.
McpNCalendar: Constructs a holiday calendar object for multiple currencies.

2. Risk-Free Rate Curve Construction Functions

McpYieldCurve2: Constructs a risk-free rate curve object.

3. Volatility Surface Construction Functions

McpVolSurface2: Constructs a commodity and equity index volatility surface object.

4. Volatility Surface Information Retrieval Functions

VolSurface2GetReferenceDate: Retrieves the reference date from the volatility surface.
VolSurface2GetSpotDate: Retrieves the spot date from the volatility surface.
VolSurface2GetForward: Retrieves the forward price for a specified expiry date from the volatility surface.
VolSurface2Strikes: Retrieves the strikes from the volatility surface.
VolSurface2ExpiryDates: Retrieves the expiry dates from the volatility surface.
VolSurface2GetVolatility: Retrieves the volatility for a specified strike and maturity date from the volatility surface.

5. Option Object Construction Functions

McpVanillaOption: Constructs a VanillaOption object.

6. Option Calculation Functions

McpPrice: Calculates the option premium.
McpDelta: Calculates the Delta of the option.
McpVega: Calculates the Vega of the option.
McpGamma: Calculates the Gamma of the option.
McpTheta: Calculates the Theta of the option.
McpVanna: Calculates the Vanna of the option.
McpVolga: Calculates the Volga of the option.
McpForwardDelta: Calculates the Forward Delta of the option.
McpRho: Calculates the Rho of the option.
McpMarketValue: Calculates the market value of the option.
McpPV: Calculates the present value (PV) of the option.