The ForwardStart function calculates the theoretical price, sensitivities and the implied volatility value of a European style forward start option using Rubinstein’s model. See Multiple Exercise Options for a further explanation.
ForwardStart 
(OptionType, ModelStatistic, Asset, TimeStart, TimeExpire, Volatility, InterestRate, YieldRate, Alpha, MarketPrice, TimeFormat, InterestType, YieldType) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculation.
Argument 
Description 
OptionType 
Alphanumeric value indicating the type of option: •Call = 1 or "c" (case insensitive) •Put = 2 or "p" (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 
Asset 
The price of the underlying asset. Must be > 0. 
TimeStart 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the grant date (when the option forward starts). Must be: 0 < TimeStart < TimeExpire. 
TimeExpire 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be: 0 < TimeStart < TimeExpire. 
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. 
YieldRate 
Yield, expressed as a percentage (dividends or interest yield), of the underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldType argument. 
Alpha 
The strike price is set equal to Alpha times the asset price at TimeStart (Strike = Alpha*Asset). Must be > 0 
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. 
YieldType 
Optional. Alphanumeric value indicating the type of YieldRate 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 functions for a forward start call option with a forward start in 0.25 years and expires in 1 year. The option starts 5% outofthe money, the asset price is $43, the riskfree interest rate is 6.5% per annum, the yield rate is 3% per annum, and the annual volatility is 20%. All of the rates are considered continuous. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
OptionType 
Call 

1 
Theoretical: 
2.461591 
Asset 
43 

2 
Delta: 
0.057246 
TimeStart 
0.25 

3 
Gamma: 
0.000000 
TimeExpire 
1 

4 
Theta: 
0.000202 
Volatility 
20% 

5 
Implied Vol.: 
0.202666 
InterestRate 
6.5% 

6 
Vega: 
0.144036 
YieldRate 
3% 

7 
Rho: 
0.132591 
Alpha 
1.05 

8 
Psi: 
0.157207 
MarketPrice 
2.5 

9 
Lambda: 
1.000000 
TimeFormat 
Years 




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 Multiple Exercise Template menu item after the addin has been installed properly.
A list of all of the possible Error Messages is included for convenience.