The Eurodollar function calculates the theoretical price, sensitivities, and the implied volatility of Eurodollar options using the BlackScholes, PseudoAmerican, Binomial, Whaley, or the BjerksundStensland model. See Vanilla Option Models for a further explanation.
Eurodollar 
(EuroModel, ExerciseType, OptionType, ModelStatistic, AssetPrice, StrikePrice, TimeExpire, Volatility, InterestRate, Iterations, MarketPrice, TimeFormat, InterestType) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Volatility Calculation.
Individual Models within the Eurodollar Model are as follow:
Black Model 
InterestRate = YieldRate 
BlackScholes Model 
YieldRate = 0 
GarmanKohlhagen Model 
YieldRate = Foreign Interest Rate 
Argument 
Description 
EuroModel 
Alphanumeric value indicating the model used to evaluate the Eurodollar option: •BlackScholes = 0 or "B" (case insensitive) •Whaley = 1 or "W" (case insensitive) •Binomial = 2 or "N" (case insensitive) •BjerksundStensland = 3 or "S" (case insensitive) 
ExerciseType 
Alphanumeric value indicating the exercise type: •American = 0 or "a" (case insensitive) •European = 1 or "e" (case insensitive) 
OptionType 
Alphanumeric value indicating the type of option: •Call = 1 or "c" (case insensitive) •Put = 2 or "p" (case insensitive) •Straddle = 3 or "s" (case insensitive) 
ModelStatistic 
Numeric value indicating the type of function required for the return value: •Theoretical = 1 •Delta = 2 •Gamma = 3 •Theta = 4 •ImpliedVol = 5 •Vega = 6 •Rho = 7 •Psi = 8 •Lambda = 9 •IntrinsicValue = 10 •StrikeSensitivity = 11 •TimeValue = 12 •Implied Strike = 13 
AssetPrice 
The price of the underlying asset. Must be > 0. 
StrikePrice 
The price at which the asset can be purchased if the option is a call or sold if the option is a put. Must be > 0. 
TimeExpire 
Time expressed in either Days or Years (depending on the TimeFormat value) until the options expiration. Must be > 0. 
Volatility 
Annualized volatility of the underlying security. Must be > 0. 
InterestRate 
Riskfree interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument. Must be > 0. 
Iterations 
Optional. The number of iterations used for the binomial model. Required for the binomial model. Must be > 5 when used. 
MarketPrice 
Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0. 
TimeFormat 
Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either: •Days = 0 or "D" (case insensitive) •Years = 1 or "Y" (case insensitive) 
InterestType 
Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a continuously compounded rate is used. 
Example
Calculate all of the functions for an American put option whose asset price 88 days from expiration of an option is $89.29, the exercise price of the option is $89.25, the riskfree interest rate is 7% per annum, and the annual volatility is 30% using the Binomial Model with 75 iterations. This means that EuroModel = BinomialEuro, Iterations = 75, AssetPrice = $89.29, StrikePrice = $89.25, InterestRate = 7%, TimeExpire = 88 days and Volatility = 30%. There are no dividends and all interest rates are considered continuous. So, 
Input 


Output 


Variable 
Value 

Function 
Name 
Value 
ExerciseType 
American 

1 
Theoretical: 
0.60373 
OptionType 
Put 

2 
Delta: 
0.51400 
Asset 
89.29 

3 
Gamma: 
0.24841 
Strike 
89.25 

4 
Theta: 
0.00342 
TimeExpire 
88 

5 
Implied Vol: 
0.49143 
Volatility 
30% 

6 
Vega: 
0.02074 
InterestRate 
7.00% 

7 
Rho: 
0.00115 
MarketPrice 
1.00 

8 
Psi: 
0.00115 
TimeFormat 
Days 

9 
Lambda: 
9.11819 
Iterations 
75 

11 
Strike Sensitivity: 
0.46450 



13 
Implied Strike: 
89.97444 