Warrant key figures
"OOS" in this section means a warrant or option. The close rates are generally used for the key figures.
OOS.BetterPerformance[date;period]→number
Date (Date[Current date]): Evaluation date.
Period (number).
Result: The BetterPerformance function returns the proportion of days in<period>(percentage) on which the bill outperformed the underlying (here in relation to all days).
OOS.BetterPerformanceIncreasing[date;period]→number
Date (Date[Current date]): Evaluation date.
Period (number).
Result: The function BesserePerformanceSteigend returns the proportion of days in<period>(percentage) on which the bill outperformed the underlying (here based on rising days).
OOS.BreakEven[date]→number
Date (Date[Current date]): Evaluation date.
Result: The BreakEven function returns the basic key figure "Break-Even" for the<date>.
OOS.Delta[Date;DaysVola;Interest;AnnualizationFactor]→Number
Date (Date[Current date]): Evaluation date.
DaysVola (number[30]).
Annualization factor (figure [252]): Parameters of the underlying volatility analysis.
Interest (percentage [Safe interest rate of the strike currency]): Explicit interest rate information that covers the values in the collateral interest rate table.
Result: The Delta function provides the key figure "Delta" according to the Black-Scholes model.
OOS.effectivelever[date]→number
Date (Date[Current date]): Evaluation date.
Result: The EffectiveLever function returns the basic key figure "Effective Lever" for<date>.
OOS.FairPrice[Date;DaysVola;Interest;AnnualizationFactor]→Number
Date (Date[Current date]): Evaluation date.
DaysVola (number[30]).
Annualization factor (figure [252]): Parameters of the underlying volatility analysis.
Interest (percentage [Safe interest rate of the strike currency]): Explicit interest rate information that covers the values in the collateral interest rate table.
Result: The function FairerPreis provides the key figure "Fair price" according to the Black-Scholes model.
OOS.Gamma[Date;DaysVola;Interest;AnnualizationFactor]→Number
Date (Date[Current date]): Evaluation date.
DaysVola (number[30]).
Annualization factor (figure [252]): Parameters of the underlying volatility analysis.
Interest (percentage [Safe interest rate of the strike currency]): Explicit interest rate information that covers the values in the collateral interest rate table.
Result: The Gamma function provides the key figure "Gamma" according to the Black-Scholes model.
OOS.lever[date]→number
Date (Date[Current date]): Evaluation date.
Result: The Lever function returns the basic key figure "Lever" for<date>.
OOS.ImpliedVolatility[Date;Interest]→Number
Date (Date[Current date]): Evaluation date.
Interest (percentage [Safe interest rate of the strike currency]): Explicit interest rate information that covers the values in the collateral interest rate table.
Result: The ImpliedVolatility function returns the implied volatility of the underlying according to the bill.
OOS.innerValue[date]→number
Date (Date[Current date]): Evaluation date.
Result: The InnerValue function returns the base key figure "Inner value" for the<Date>.
OOS.innerValuePercent[date]→number
Date (Date[Current date]): Evaluation date.
Result: The InnerValuePercent function returns the basic key figure "Inner value in percent" for<date>.
OOS.maximumincome[date;expenses]→number
Date (Date[Current date]): Evaluation date.
Expenses (number).
Result: The MaximumYield function provides the upper limit for the total profit in the short position.
OOS.middlelever[date;period]→number
Date (Date[Current date]): Evaluation date.
Period (number).
Result: The key figure "Leverage" averaged over <period> values before <date>.
OOS.averagepremium[date;period]→number
Date (Date[Current date]): Evaluation date.
Period (number).
Result: The AveragePremium function returns the key figure "Premium" averaged over<period>values before<date>.
OOS.Omega[Date;DaysVola;Interest;AnnualizationFactor]→Number
Date (Date[Current date]): Evaluation date.
DaysVola (number[30]).
Annualization factor (figure [252]): Parameters of the underlying volatility analysis.
Interest (percentage [Safe interest rate of the strike currency]): Explicit interest rate information that covers the values in the collateral interest rate table.
Result: The Omega function provides the key figure "Omega" according to the Black-Scholes model.
OOS.premium[date]→number
Date (Date[Current date]): Evaluation date.
Result: The Premium function returns the basic key figure "Premium" on<date>as a percentage of base 1.
OOS.premiumPA[date]→number
Date (Date[Current date]): Evaluation date.
Result: The PremiumPA function returns the basic key figure "Premium p.a." as of<date>as a percentage of base 1.
OOS.reallever[date;period]→number
Date (Date[Current date]): Evaluation date.
Period (number).
Result: The RealLeverage function returns the leverage averaged over<period>values, which is calculated from the real price ratios between the bill and the underlying.
OOS.remaining term→number
Result: The Remaining term function returns the remaining term of the bill in years.
OOS.Rho[Date;DaysVola;Interest;AnnualizationFactor]→Number
Date (Date[Current date]): Evaluation date.
DaysVola (number[30]).
Annualization factor (figure [252]): Parameters of the underlying volatility analysis.
Interest (percentage [Safe interest rate of the strike currency]): Explicit interest rate information that covers the values in the collateral interest rate table.
Result: The Rho function provides the key figure "Rho" according to the Black-Scholes model.
OOS.worsePerformance[date;period]→number
Date (Date[Current date]): Evaluation date.
Period (number).
Result: The function WorsePerformance returns the proportion of days in<period>(percentage) on which the bill performed worse than the underlying (in relation to all days).
OOS.WorsePerformanceFalling[date;period]→number
Date (Date[Current date]): Evaluation date.
Period (number).
Result: The function WorsePerformanceFalling returns the proportion of days in<period>(percentage) on which the bill performed worse than the underlying (in relation to falling days).
OOS.StillhalterBreakEven[Date;Expenses]→Number
Date (Date[Current date]): Evaluation date.
Expenses (number).
Result: The StillhalterBreakEven function returns the break-even from the stillhalter position with a spread record on<date>.
OOS.Theta[Date;DaysVola;Interest;AnnualizationFactor]→Number
Date (Date[Current date]): Evaluation date.
DaysVola (number[30]).
Annualization factor (figure [252]): Parameters of the underlying volatility analysis.
Interest (percentage [Safe interest rate of the strike currency]): Explicit interest rate information that covers the values in the collateral interest rate table.
Result: The Theta function provides the key figure "Theta" according to the Black-Scholes model.
OOS.totalincome[date;expenses]→number
Date (Date[Current date]): Evaluation date.
Expenses (number).
Result: The TotalYield function returns the time value of the bill in relation to the base price (percentage) in the short position.
OOS.Vega[Date;DaysVola;Interest;AnnualizationFactor]→Number
Date (Date[Current date]): Evaluation date.
DaysVola (number[30]).
Annualization factor (figure [252]): Parameters of the underlying volatility analysis.
Interest (percentage [Safe interest rate of the strike currency]): Explicit interest rate information that covers the values in the collateral interest rate table.
Result: The Vega function returns the key figure "Vega" according to the Black-Scholes model.
OOS.time value[date]→number
Date (Date[Current date]): Evaluation date.
Result: The time value function returns the basic key figure "time value" for<date>.
OOS.timeValuePercent[date]→number
Date (Date[Current date]): Evaluation date.
Result: The function returns the basic key figure "Time value in percent" for <date>.