Set Option Model Inputs
Use the Option Modeler to re-configure values that are used, along with the last sale price of the underlying and other parameters, to calculate the model price and implied volatility.
To configure pricing model inputs
There are two interest rate columns, Auto and Manual. The Auto column displays the U.S. default rate. The Manual column initially displays the U.S. rate (rather than an empty field), but the value is editable. To edit an existing value in the Manual field, select it by triple clicking in the field, and type your new value over the existing one.
The option model is calculated using the interest rate you define by selecting the Auto or Manual radio buttons. To recalculate the option model, set the interest rate by selecting the appropriate button, and click Refresh Plot.
The interest rate applies over a period of 30 days.
The annual percentage rate is a simple time deposit rate using the bank year calendar (360 days/year).
The system converts the interest rate table to a set of exponential interest rates that apply on a spot-to-date basis for each expiry in a class. These are displayed in the Annual Interest Rate column in the parameters section of the Model Editor.
NOTE: The interest rate table applies across all option classes. When you change the interest rate in one option class, the change is applied to all option classes.
In addition to letting you manually set the dividend schedule, IA also provides an automatic "best guess" dividend payment schedule based on historical data for that asset. To add or delete lines for manual entry, right click in the section and select Insert Dividend or Delete Dividend from the right-click menu. To edit an existing value in the Manual column, select it by triple clicking in the field, and type your new value over the existing one.
NOTE: The data in the Automatic
column is not editable. When you create a new line to manually add a new
dividend, a blank field appears in the Automatic column. You cannot add
data to this field. 
To set the dividends
In the Date field, enter the ex-dividend date in the format yyyymmdd. For example, for an ex-dividend date of March 15, 2002 you would enter 20020315.
Enter the amount of the dividend payment and press Enter.
Select the dividend schedule to use by clicking either the Auto or Manual radio button.
Click Refresh Plot to recalculate the option model with the selected set of data.
You can also copy and paste dividend and interest data from a two-column table in another application (such as MS Excel, or an MS Word table).
To copy and paste data
Enter dates and dividend or interest amounts into a two-column table in Word, or into two columns in an Excel spreadsheet.
Select and copy the rows/columns.
In the Option Model Editor, put the table into manual mode by selecting the Manual radio button. This also enables the Paste button.
Click Paste. Your new values are inserted into the table.
NOTE: In the Dividend Schedule editor, you will only see your new values when the table is in Manual mode. In the Interest Rate editor, your entries are integrated into the table by date, and your interest rates appear in the Manual column.
Set the Volatility Profile as a Function of the Option Strike Price
Select an expiry in the Symbol-Expiry column.
In the Volatility
Model display, click and hold a knot, and drag left/right to change
the strike price at a fixed volatility, and up/down to change the volatility
at a fixed strike price. (Note that the horizontal
axis represents the strike price of the option, and
the vertical axis represents the volatility). The numerical strike, volatility
value and slope for all knots is displayed in the Volatility
Function table to the right of the model.
Note: You can also type a strike or volatility value directly into the Strike or Volatility field in the Volatility Function table. Press Enter to accept the value. To add a knot to the volatility profile, point to where you want the knot, right click and select Insert Knot. The corresponding values are added in a new line in the Volatility Function table to the right of the model.
If desired, save the volatility profile.
To re-set the model, click the New Fit button below the parameters.
To get current data and recalculate the implied volatility, click Refresh Plot.