| Parameter | Reference | Type | Length | Default | Optional | Text |
|---|---|---|---|---|---|---|
| I_VOLA | F | F | 8 | Volatility of Underlying (10.2 for 10,2%) | ||
| OPT_DAYS | I | I | 4 | 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 | Fixed Repayment Amount When Exercised | ||
| 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' |
| Parameter | Reference | Type | Length | Text |
|---|---|---|---|---|
| OPT_DELTA | F | F | 8 | Output of Analytical Delta Acc. to Category |
| OPT_PRICE | F | F | 8 | Output of Price According to Rubinstein or B&S |
| Exception | Text |
|---|---|
| NEG_DAYS | No or Negative Remaining Term |
| NO_PC | Transfer Neither 'P' nor 'C' |
| ZERO_NEG_SPOT | No or Negative Rate |
| ZERO_NEG_STRIKE | No or Negative Strike |
| ZERO_NEG_VOLA | No or Negative Vola |
|
Function module DIGITAL_PRICE_EURO_BS calculates the price of a DIGITALoption. A digital option is a bet on an event that is defined by thestrike and by the Up(=Call) or Down(=Put) specified. A digital Up 1,67 for the US Dollar is a bet that the Dollar will have ahigher rate than 1,6700 DEM/USD when exercised. It is irrelevant howhigh the rate is before or afterwards. When exercised, a fixed amount -REBATE - is paid. |