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Description |
This formula calculates a Synthetic Underlying price by calculating the difference between the price of the at-the-money call and put and adding it to the strike price of the at-the-money call. |
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Formula |
SynUnder(instrument)=begin retval = Diff(instrument.c.recent, instrument.p.recent) + instrument.c.strike end |
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Parameters |
instrument The instrument argument specifies which instrument to evaluate. |
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Return Value |
A synthetic underlying price. |
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Examples |
Conv(instrument)=begin retval = Diff(SynUnder(instrument), instrument.u.recent) end |
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Comments |
NA |
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