Re: Problem with "Standard Normal Distribution Function"

[artast@xxxx]

Anthony,

Thank you for your answer. I checked your attachment. I also checked 
this formula in Excel earlier. Unfortunately with a help of NORMSDIST 
function I calculated as same values for both dd1 (1.17) and CallFV 
(15.29) as are in example from the source. The calculation follows:
A B C Rows
strike E 90 1
time time 0.5 2
stock p S 100 3
inter r 0.1 4 
volat QQ 0.2 5
6
Variab dd1 1.16927542 7
Call FV 15.28832295 8

The Variable(dd1) is =(LN(C3/C1)+(C4+C5*C5/2)*C2)/(C5*SQRT(C2))
The Call FV is =C3*NORMSDIST(C7)-C1*EXP(-C4*C2)*NORMSDIST(C7-C5*SQRT
(C2))

Variable (dd1) and CallFV seem to be right in my opinion. Also you 
can check the data of this example in 
www.geocities.com/WallStreet/2529/bsopm.htm.
I believe, the problem is with NORMSDIST function only. But I do not 
know how to translate this function into AB. Please can you help me 
with this translation?
Thank you in advance.

Regards,
artast

--- In amibroker@xxxx, Anthony Faragasso <ajf1111@xxxx> wrote:
> Hi Artast;
> 
> I am working on the formulas, check out the attached image file, the
> problem is in the Norms dist function as you can see, in Excel the
> formulas are correct, but using the formulas that you supplied 
return a
> ( - 1.647 ) . Will send when fixed.
> 
> Anthony
> 
> artast@xxxx wrote:
> 
> > Anthony,
> >
> > Thank you for a quick reply. Please is it possible to check and
> > correct Standard Normal Distribution Function (N) and Call formula
> > (Call = S*dd1 -E*exp(-r*time)*dd2) by you? dd1 formula is correct
> > (1.17) and Call FV should be 15.28 in this example.
> > Thanks in advance.
> >
> > Regards,
> > artast
> >
> > --- In amibroker@xxxx, Anthony Faragasso <ajf1111@xxxx> wrote:
> > > Hello Artast;
> > >
> > > I tried your formula in Automatic analysis, and hit explore , 
it
> > seems
> > > to be using the( apply to and range ) options in the Automatic
> > > analysis window.
> > >
> > > Anthony
> > >
> > > artast@xxxx wrote:
> > >
> > > > Hello Everybody,
> > > >
> > > > I'd like to use Black_Schole Option Formula for my research 
in AB.
> >
> > > > But I have a problem to define the "Standard Normal 
Distribution
> > > > Function". It is really a long time I am out of school.
> > > > Please can anybody help me?
> > > > Thanks in advance.
> > > >
> > > > Regards,
> > > > artast
> > > >
> > > > /*The Formula: I entered exact values from the example to 
check
> > Call
> > > > Fair Value. It should be 15.28. Source
> > > > www.geocities.com/WallStreet/2529/bsopm.htm */
> > > >
> > > > S = 100; //Stock Price for testing
> > > > time = 0.5; //Time to expiry (days to expir/253 or days to 
exp/365
> >
> > > > E = 90; //Strike
> > > > r = 0.1; //prevailing interest rate
> > > > Q = 0.2; //Volatility
> > > > dd1 = (ln(S/E) + (r + Q*Q/2)*time)/(Q*sqrt(time));
> > > > dd2 = dd1 - Q*sqrt(time);
> > > > A = 0.33267; //koeficient
> > > > bb1 = 0.4361836; //koef
> > > > bb2 = -0.1201676; //koef
> > > > bb3 = 0.937298; //koef
> > > > k = 1/(1+ A*dd1);
> > > > pi = 3.141592654;
> > > >
> > > > N = IIf(dd1>0, 1-(1/sqrt(2*pi))*exp((-dd1*dd1)/2) * ((bb1*k)+
> > > > (bb2*k*k) + (bb3*k*k*k)), IIf(dd1<0, dd2, 0.5)); //Standard 
Normal
> >
> > > > Distribution Function
> > > >
> > > > Call = S*dd1 -E*exp(-r*time)*dd2; // B&S Formula for Call 
Option
> > FV
> > > >
> > > > Filter = 1;
> > > > AddColumn(C,"C",1.2);
> > > > AddColumn(Call,"CallFV",1.2);
> > > > AddColumn(N,"N",1.2);
> > > > AddColumn(dd1,"dd1",1.2);
> > > > AddColumn(dd2,"dd2",1.2);
> > > >
> > > >
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