CALENDAR SPREAD, AND REVERSE CALENDAR SPREAD OPTION STRATEGIES VALUATION PROCEDURE

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1. Log into your account or if you are a new user, register your account and enable two factor authentication.
2. Click on the [Calendar spread] button, this will take you to the Dynamic-text-blocks parameters page.

Dynamic text-blocks parameters page

1. Select the option strategy type from the following list:
   1. Calendar spread option strategy
   2. Calendar spread option strategy
2. Enter the option strategy lower expiry period in years.
3. Enter the option strategy higher expiry period in years.
4. Enter number of discrete dividends before higher maturity option expiry(enter zero if none). Discrete dividend is such that, if the underlying share price value just before dividend payment is S, and the value of discrete dividend is D, then the value of the share price just after discrete dividend payment is S-D.
5. Enter the number of known dividend yields before higher maturity option expiry(enter zero if none). Known dividend yield is such that, if the underlying share price value just before dividend payment is S, and the value of known dividend yield is q, then the value of the share price just after dividend payment is S*(1-q).
6. Click the submit button, this will take you to the array populating page.

Array populating page

1. Identifier indices used in this section start identification counting from 0 to make them consistent with programming of array indices.
2. Enter values of discrete dividends indicated by identifier indices.
3. Enter the timing of discrete dividends indicated by identifier indices.
4. Enter the continuously compounded zero-rate at timing of discrete dividends indicated by identifier indices.
5. Enter values of known dividend yields indicated by identifier indices.
6. Enter the timing of known dividend yields indicated by identifier indices.
7. Click the submit button, this will take you to the Calendar spread valuation parameters page.

Calendar spread valuation parameters page

1. Enter the name of underlying share.
2. Select the currency of valuation from the drop-down list.
3. Enter the current stock price.
4. Enter the lower-maturity option annualised implied volatility.
5. Enter the higher-maturity option annualised implied volatility.
6. Enter the option strategy strike price.
7. Enter the continously compounded dividend yield. The continously compounded dividend yield together with discrete dividends, and known dividend yields entries in the Array populating page, enable any dividend payment pattern to be accomodated in the pricing model.
8. Enter the continuously compounded zero rate for the lower-maturity option expiry period.
9. Enter the continuously compounded zero rate for the higher-maturity option expiry period.
10. Enter allocated expenses and tax to be added to the pure option strategy price.
11. Enter profit percentage to be loaded to the calculated sum of pure option strategy price and dealing expenses and tax. If the profit-loading is x and the sum of pure option strategy price plus expenses and tax is P, then the final price will be calculated as (1 + x)*P. It is important to note that valuation is done from a dealer/broker's perspective. The profit-charge is charged by the dealer/broker.
12. Click the submit button and this will take you to the output display page.

Output display page

1. You can view pricing model output together with input parameters you entered.
2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.