Vanilla Option Related Functions

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Construction Functions

Excel: =McpVanillaOption(args1, args2, args3, args4, args5, fmt)

Python: McpVanillaOption(*args)

• Function: Constructs a McpVanillaOption object.
• Parameters:
  • args1~args5 or *args: Parameter groups, supporting the following three input methods:
    1. Constructed via Market Data:
       • CallPut: Option type (enumeration value, e.g., Call or Put).
       • ReferenceDate: Trade date or valuation date.
       • StrikePx: Strike price.
       • SpotPx: Spot price.
       • Volatility: Volatility.
       • ExpiryDate: Expiry date.
       • SettlementDate: Settlement date.
       • DomesticRate: Interest rate for currency 2.
       • ForeignRate: Interest rate for currency 1.
       • BuySell: Buy/sell direction (enumeration value, e.g., Buy or Sell).
       • OptionExpiryNature: Option type (enumeration value).
       • PricingMethod: Pricing model (enumeration value).
       • Calendar: Holiday calendar object.
       • DayCounter: Day count convention (enumeration value).
       • PremiumDate: Premium payment date.
       • NumSimulation: Number of simulations (for Monte Carlo).
       • FaceAmount: Notional amount.
    2. Constructed via Volatility Surface:
       • CallPut: Option type (enumeration value).
       • ReferenceDate: Trade date or valuation date.
       • StrikePx: Strike price.
       • SpotPx: Spot price.
       • FaceAmount: Notional amount.
       • ExpiryDate: Expiry date.
       • SettlementDate: Settlement date.
       • PremiumDate: Premium payment date.
       • BuySell: Buy/sell direction (enumeration value).
       • OptionExpiryNature: Option type (enumeration value).
       • PricingMethod: Pricing model (enumeration value).
       • Calendar: Holiday calendar object.
       • DayCounter: Day count convention (enumeration value).
       • VolSurface: Volatility surface object.
       • NumSimulation: Number of simulations (for Monte Carlo).
       • DomesticRate: Interest rate curve object for currency 2.
       • ForeignRate: Interest rate curve object for currency 1.
    3. Constructed via Volatility Surface (Simplified Version):
       • Similar to the second method but omits some parameters.
  • fmt: Parameter format (default is VP),Excel-specific parameters.
• Returns: McpVanillaOption object.

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Usage Functions

Excel: =McpPrice(obj, isAmount=True)

Python: Price(*args)

• Function: Calculates the option premium.
• Parameters:
  • Obj: McpVanillaOption object.
  • isAmount: Whether to calculate the amount (default is True).
  • *args：is a dictionary, does not require the Obj parameter, other parameters are the same as those in Excel.
• Returns: Option premium.

Excel: =VoPrice(obj, isAmount=True, pricingMethod=None)

• Function: Calculates the pips value for currency 2.
• Parameters:
  • obj: McpVanillaOption object.
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing model (default is BlackScholes).
• Returns: Pips value for currency 2.

Excel: =McpDelta(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Delta(*args)

• Function: Calculates the Delta value of the option.
• Parameters:
  • obj: McpVanillaOption object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True). If True, Greeks are calculated using the Black-Scholes model regardless of the selected pricing model; otherwise, the selected model is used.
  • *args：is a dictionary, does not require the obj parameter, other parameters are the same as those in Excel.
• Returns: Delta.

Excel: =McpForwardDelta(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: ForwardDelta(isCCY2=False, isAmount=True, npricingMethod=1, isClosedFormMethod=True)

• Function: Calculates the Forward Delta value of the option.
• Parameters:
  • obj: McpVanillaOption object,Python API does not require this parameter.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
• Returns: Forward Delta.

Excel: =McpVega(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Vega(*args)

• Function: Calculates the Vega value of the option.
• Parameters:
  • obj: McpVanillaOption object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
  • *args：is a dictionary, does not require the obj parameter, other parameters are the same as those in Excel.
• Returns: Vega.

Excel: =McpGamma(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Gamma(*args)

• Function: Calculates the Gamma value of the option.
• Parameters:
  • obj: McpVanillaOption object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
  • *args：is a dictionary, does not require the obj parameter, other parameters are the same as those in Excel.
• Returns: Gamma.

Excel: =McpTheta(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Theta(*args)

• Function: Calculates the Theta value of the option.
• Parameters:
  • obj: McpVanillaOption object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
  • *args：is a dictionary, does not require the obj parameter, other parameters are the same as those in Excel.
• Returns: Theta.

Excel: =McpVanna(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Vanna(isCCY2=False, isAmount=True, npricingMethod=1, isClosedFormMethod=True)

• Function: Calculates the Vanna value of the option.
• Parameters:
  • obj: McpVanillaOption object,Python API does not require this parameter.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
• Returns: Vanna.

Excel: =McpVolga(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Volga(isCCY2=False, isAmount=True, npricingMethod=1, isClosedFormMethod=True)

• Function: Calculates the Volga value of the option.
• Parameters:
  • obj: McpVanillaOption object,Python API does not require this parameter.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
• Returns: Volga.

Excel: =McpRho(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Rho(*args)

• Function: Calculates the Rho value of the option.
• Parameters:
  • obj: McpVanillaOption object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
  • *args：is a dictionary, does not require the obj parameter, other parameters are the same as those in Excel.
• Returns: Rho.

Excel: =McpMarketValue(obj, isAmount=True)

Python: MarketValue(isAmount=True)

• Function: Calculates the market value.
• Parameters:
  • Obj: McpVanillaOption object,Python API does not require this parameter.
  • isAmount: Whether to calculate the amount (default is True).
• Returns: Market value.

Excel: =McpPV(obj, isAmount=True)

Python: PV(isAmount=True)

• Function: Calculates the present value (PV).
• Parameters:
  • Obj: McpVanillaOption object,Python API does not require this parameter.
  • isAmount: Whether to calculate the amount (default is True).
• Returns: Present value (PV).

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Other Usage Functions

Excel: =Forward2ImpliedBaseRate(pair, forward, spot, termRate, spotDate, deliveryDate)

• Function: Calculates the implied base rate (CCY1).
• Parameters:
  • pair: Currency pair.
  • forward: Forward price.
  • spot: Spot price.
  • termRate: Interest rate for CCY2.
  • spotDate: Spot value date.
  • deliveryDate: Delivery date.
• Returns: Implied base rate for CCY1.

Excel: =Forward2ImpliedTermRate(pair, forward, spot, baseRate, spotDate, deliveryDate)

• Function: Calculates the implied term rate (CCY2).
• Parameters:
  • pair: Currency pair.
  • forward: Forward price.
  • spot: Spot price.
  • baseRate: Interest rate for CCY1.
  • spotDate: Spot value date.
  • deliveryDate: Delivery date.
• Returns: Implied term rate for CCY2.

Excel: =ImpliedForward(pair, baseRate, termRate, spot, spotDate, deliveryDate)

• Function: Calculates the implied forward price.
• Parameters:
  • pair: Currency pair.
  • baseRate: Interest rate for CCY1.
  • termRate: Interest rate for CCY2.
  • spot: Spot price.
  • spotDate: Spot value date.
  • deliveryDate: Delivery date.
• Returns: Implied forward price.

Excel: =ImpliedFwdPoints(pair, baseRate, termRate, spot, spotDate, deliveryDate)

• Function: Calculates the implied forward points.
• Parameters:
  • pair: Currency pair.
  • baseRate: Interest rate for CCY1.
  • termRate: Interest rate for CCY2.
  • spot: Spot price.
  • spotDate: Spot value date.
  • deliveryDate: Delivery date.
• Returns: Implied forward points.

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Notes

1. Parameter Format: The fmt parameter specifies the parameter format, with a default value of VP.
2. Enumeration Values: Some parameters (e.g., CallPut, BuySell) are enumeration values. Refer to specific definitions for details.
3. Default Values: Parameters not explicitly stated usually have default values, which can be adjusted as needed.