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 
For a further example on this model see the included Excel Template located in the root directory of the addin. This example can be accessed through the Vanilla Options Template menu item after the addin has been installed properly.
A list of all of the possible Error Messages is included for convenience.