Vanilla Option

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Vanilla Option

Emilie Drouet
Hello,

I have create a Excel file that normally allow to value a price of a vanilla option. But he didn't work and i don't find why.
Can some one help me?

Thanks in advance!

Emilie

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Classeur1Vanille.xls (52K) Download Attachment
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Re: Vanilla Option

Eric Ehlers-3
Hello,

I had a look at your spreadsheet, it appears to me to work fine, but it
does return an NPV of zero, which I suppose is not what you expect.

You have not set the evaluation date, which means that it defaults to
today.  The deal expires in the past which is why it has a value of
zero.  If you set the expiration date into the future then the PV
becomes nonzero.

In general you need to make a call to qlSettingsSetEvaluationDate() to
set the evaluation date, and you need to make sure that all of your
other processing depends on (comes after) that call.

The safest way to do that is to make the call in VBA code, after loading
the XLL, but before loading your spreadsheet:

Call Application.Run("qlSettingsSetEvaluationDate", xxx)

Where xxx is the serial number of the desired evaluation date, e.g.
42689 for 15-Nov-2016.

Kind Regards,
Eric

On Tue, 8 Nov 2016 15:02:56 +0000 (UTC)
Emilie Drouet <[hidden email]> wrote:

> Hello,
> I have create a Excel file that normally allow to value a price of a
> vanilla option. But he didn't work and i don't find why.Can some one
> help me? Thanks in advance!
>
> Emilie
>

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