| Parameter | Reference | Type | Length | Default | Optional | Text |
|---|---|---|---|---|---|---|
| DIVIDEND | 0 | Dividend as Percentage Rate | ||||
| EVALUATION_DATE | SYST-DATUM | D | 8 | SY-DATUM | X | Date on which the Net Present Value (Premium) is Calculated |
| I_STRIKE | F | F | 8 | X | Strike Amount | |
| I_VOLA | F | F | 8 | Volatility in Percent | ||
| MATURITY | SYST-DATUM | D | 8 | |||
| OPTION_DATA | TV0_OPTI_TYP | 0 | Option Data | |||
| SFGTYP | JBRBEST-SFGTYP | N | 3 | Underlying Buy/Sell -> Put/Call | ||
| SPOT | 0 | Curency Data | ||||
| STEPS | I | I | 4 | 30 | X | For Binominale Calculation Only: How Many Steps |
| ZERO_DOMRATE | 0 | Domestic Interest as Zero Rate |
| Parameter | Reference | Type | Length | Text |
|---|---|---|---|---|
| DELTA | F | F | 8 | |
| GAMMA | F | F | 8 | NPV / Premium for Evalutaion Date |
| PRESENT_VALUE | F | F | 8 | |
| THETA | F | F | 8 | |
| VEGA | F | F | 8 | Delta Result |
| Exception | Text |
|---|---|
| NEG_BARRIER | Barrier Negative |
| NEG_DAYS | Number of Days Negative |
| NO_IO | No ID for In/Out |
| NO_PC | No ID for Put/Call |
| NO_UD | No ID for Up/Down |
| ZERO_NEG_SPOT | Spot <= 0 |
| ZERO_NEG_STEPS | For Americacn Iter. Steps <=0 |
| ZERO_NEG_STRIKE | Strike <=0 |
| ZERO_NEG_VOLA | Vola <= 0 |
|
Calculation of the net present value of an option for a transaction So far, the following option categories can be calculated: - Standard European - Barrier (Up&Out, Up&In, Down&Out, Down&In) - Hit at end binary (digital) - One touch binary (digital) American options will come later (for underlying 620 and 712, swaps and bonds), for all others they can be calculated (standard American only) Depending on the exercise type (European, American) we differentiatewithin the exercise type according to option category (see above). The Opt_Underlying indicator must be set to 'A' for stocks, because thedelta for stocks is calculated differently than for other underlyings. Description |