The "Greeks"
(Delta, Rho, Theta, Gamma, Vega, d1, d2)
The "Greeks" are a set of BlackScholes values which measure the sensitivity of an option's price
to changes in the option's parameters.

General Syntax 
For each of the
Greeks, the function arguments have the
following meanings:

UndajustedPrice: The present price
of the underlying security (i.e., the
stock price), before adjusting for
future dividends.

StrikePrice: Also known as
"exercise price", the price at which the
underlying security may be bought or
sold upon exercise of the option.
 Years:
The time in years until the option's
expiration.

Volatility: The annualized
estimated volatility of the underlying
security, expressed as a percentage
greater than zero.

RiskfreeRate: The annual riskfree
rate of interest which corresponds to a
time period roughly equal to the
remaining life of the option, expressed
in continuous compounding terms. (See
ContCompRate function.) If omitted,
zero is assumed.

DividendYield: The annualized
dividend yield of the underlying
security, expressed in continuous
compounding terms. (See ContCompRate
function). If omitted, zero is assumed.


Individual Functions 

CallDelta 


Returns the
BlackScholes value "Delta" for a call
option.
CallDelta(UnadjustedPrice,
StrikePrice, Years, Volatility,
RiskfreeRate,
DividendYield)



CallRho 


Returns the
BlackScholes value "Rho" for a call option.
CallRho(UnadjustedPrice,
StrikePrice, Years, Volatility,
RiskfreeRate,
DividendYield)



CallTheta 


Returns the
BlackScholes value "Theta" for a call
option.
CallTheta(UnadjustedPrice,
StrikePrice, Years, Volatility,
RiskfreeRate,
DividendYield)



PutDelta 


Returns the
BlackScholes value "Delta" for a put
option.
PutDelta(UnadjustedPrice,
StrikePrice, Years, Volatility,
RiskfreeRate,
DividendYield)



PutRho 


Returns the
BlackScholes value "Rho" for a put option.
PutRho(UnadjustedPrice,
StrikePrice, Years, Volatility,
RiskfreeRate,
DividendYield)



PutTheta 


Returns the
BlackScholes value "Theta" for a put
option.
PutTheta(UnadjustedPrice,
StrikePrice, Years, Volatility,
RiskfreeRate,
DividendYield)



OptionGamma 


Returns the
BlackScholes value "Gamma" for a call or
put option.
OptionGamma(UnadjustedPrice,
StrikePrice, Years, Volatility,
RiskfreeRate, DividendYield)



OptionVega 


Returns the
BlackScholes value "Vega" for a call or put
option.
OptionVega(UnadjustedPrice,
StrikePrice, Years, Volatility,
RiskfreeRate, DividendYield)



Option_d1 


Returns the
BlackScholes intermediate value "d1".
Option_d1(UnadjustedPrice,
StrikePrice, Years, Volatility,
RiskfreeRate,
DividendYield)



Option_d2 


Returns the
BlackScholes intermediate value "d2".
Option_d2(UnadjustedPrice,
StrikePrice, Years, Volatility,
RiskfreeRate,
DividendYield)




Notes 
 Many of the functions
in this set are interdependent, therefore the entire
code block should be installed in tact.

Code 
To install this function,
copy the entire contents of the window below into your
power4XL code module in Excel's Visual Basic editor.
For detailed instructions, see
the "Individual
Function Setup" page.
To copy the contents to your
clipboard, place your cursor inside the window below, then
press "CTRL+C".
NOTE: By copying the code below, you are agreeing to
the power4XL license terms. You agree to use
the code only on your personal and/or business computer(s)
for your own personal use. You agree not to
distribute, publish, alter, or edit the code in any way.
You may freely refer others to this website if you wish to
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