IntrinsicValue

Description

This formula returns the intrinsic value of an instrument. Intrinsic value is the in-the-money portion  of an option's price. For example, if a stock is trading at $10, the $9 call has an intrinsic value of $1.

Formula

IntrinsicValue(instrument)=begin

  retval = instrument.strike - instrument.u.recent

  if instrument.type < 192 then retval = instrument.u.recent - instrument.strike

  retval

end

Parameters

instrument

The instrument argument specifies which instrument to evaluate.

Return Value

An intrinsic value.

Examples

TimeValue(instrument)=begin

  retval = Diff(instrument.recent, IntrinsicValue(instrument))

end

Comments

NA