The LookbackPFixed function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European partialtime fixed strike lookback option using Heynen and Kat’s model. See Lookback Options for a further explanation.
LookbackPartialFixed 
(OptionType, ModelStatistic, Asset, Strike, TimeStart, TimeExpire, Volatility, InterestRate, YieldRate, MarketPrice, TimeFormat, InterestType, YieldType) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
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 •StrikeSensitivity = 11 •ImpliedStrike = 13 
Asset 
The price of the underlying asset. Must be > 0. 
Strike 
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. 
TimeStart 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the beginning of the lookback period. 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. 
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. 
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 partialtime fixed strike lookback call option whose asset price one year from expiration is $26.75, the exercise price is $30, the time until the beginning of the lookback period is half a year, the riskfree interest rate is 6% per annum, the yield rate is 3% per annum, and the annual volatility is 30%. All of the rates are considered continuous. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
OptionType 
Call 

1 
Theoretical: 
4.097199 
Asset 
26.75 

2 
Delta: 
0.746008 
Strike 
30 

3 
Gamma: 
0.063945 
TimeStart 
0.5 

4 
Theta: 
0.006607 
TimeExpire 
1 

5 
Implied Vol.: 
0.295121 
Volatility 
30% 

6 
Vega: 
0.199519 
InterestRate 
6% 

7 
Rho: 
0.117137 
YieldRate 
3% 

8 
Psi: 
0.158109 
MarketPrice 
4 

9 
Lambda: 
4.870578 
TimeFormat 
Years 

11 
Strike Sensitivity: 
0.528618 



13 
Implied Strike: 
30.185527 
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 Lookback Template menu item after the addin has been installed properly.
A list of all of the possible Error Messages is included for convenience.