| Parameter | Reference | Type | Length | Default | Optional | Text |
|---|---|---|---|---|---|---|
| IN_OUT | 0 | Indicator for In / Out | ||||
| I_VOLA | F | F | 8 | Volatility of Underlying (10.2 for 10,2%) | ||
| OPT_BARRIER | F | F | 8 | Barrier | ||
| OPT_DAYS | ANY | A | 0 | Remaining Term in Days | ||
| OPT_DOMESTIC_RATE | JBD11-IFR | P | 6 | Domestic Interest Rate in Decimal Number (5.8 for 5,8%) | ||
| OPT_FOREIGN_RATE | JBD11-IFR | P | 6 | Foreign Interest Rate | ||
| OPT_REBATE | VTVFGOP08-REBETR | P | 9 | 0 | X | Repayment, if Not Exerciseable |
| OPT_REBSIGN | VTVFGOP08-RESSIGN | C | 1 | '+' | X | Direction of Rebate Amount |
| OPT_SPOT | F | F | 8 | Current Rate of Underlying | ||
| OPT_STRIKE | F | F | 8 | Base Price of Option | ||
| PUT_CALL | C | C | 0 | Put or Call? 'P' 'C' | ||
| UP_DOWN | C | C | 0 | Indicator for Barrier Type Up or Down |
| Parameter | Reference | Type | Length | Text |
|---|---|---|---|---|
| OPT_DELTA_ZERO_MAT | F | F | 8 | |
| OPT_PRICE | F | F | 8 | Output Price According to Merton or B&S |
| Exception | Text |
|---|---|
| NEG_BARRIER | Negative Barrier, Bariier = = Internal Beh. |
| NEG_DAYS | No or Negative Remaining Term |
| NO_PC | Transfer Neither 'P' nor 'C' |
| ZERO_NEG_SPOT | No or Negative Current Price |
| ZERO_NEG_STRIKE | No or Negative Strike |
| ZERO_NEG_VOLA | No or Negative Vola |
|
Function module BARRIER_PRICE_EURO_BS is used for calculating the priceof a European barrier purchase (call) or sales option (put) according toRubinstein's procedure. Four cases can occur: Up&In, Up&Out, Down&In, Down&Out. The Up_Down and In_Out indicators are needed for this. In addition, a rebate can be paid, meaning a fixed amount that is paidif the option cannot be exercised because the barrier is reched (or notreached). In the case of an Up&Out option, a fixed amount is paid assoon as the price reaches or exceeds the Up&Out price. In the case of aDown&In, payment is made if t he price does not reach the In-point during the term. |