SAP Function RM_DOUBLE_KNOCK_PRICE_EURO - Pirce of a Double Knock in or Out Option According to Ikeda and Kunitomo

Parameter	Reference	Type	Length	Default	Optional	Text
IN_OUT	C	C	0			Knock Out: 'O', Knock In: 'I'
I_VOLA	F	F	8			Volatility of Underlying in Percent
OPT_DAYS	I	I	4			Remaining Term in Days
OPT_DOMESTIC_RATE	JBD11-IFR	P	6			Domestic Interest Rate in Percent
OPT_FOREIGN_RATE	JBD11-IFR	P	6			Foreign Interest Rate in Percent
OPT_LOWER_BARRIER	F	F	8			Value Lower Barrier
OPT_LOWER_CURVE	F	F	8	0	X	Growth Coeefficient Lower Barrier
OPT_ORIG_DAYS	I	I	4		X	Original Term in Days
OPT_SPOT	F	F	8			Current Rate of Underlying
OPT_STRIKE	F	F	8			Base Price of Option
OPT_UPPER_BARRIER	F	F	8			Value Upper Barrier
OPT_UPPER_CURVE	F	F	8	0	X	Growth Coefficient Upper Barrier
PUT_CALL	C	C	0			Put: 'P', Call: 'C'

Parameter	Reference	Type	Length	Text
OPT_DELTA_ZERO_MAT	F	F	8	Option Delta (Return only for OPT_DAYS = 0)
OPT_PRICE	F	F	8	Option Price

Exception	Text
NEG_DAYS	Negative Remaining Term
NO_IN_OUT	IN_OUT neither 'I' nor 'O'
NO_PC	PUT_CALL neither 'P' nor 'C'
NO_VALUE
UPPER_LT_LOWER	Upper Barrier Less than Upper Barrier
ZERO_NEG_LOWER_BARRIER	Lower Barrier Less than 0
ZERO_NEG_SPOT	Current Underlying Rate Less/Equal 0
ZERO_NEG_STRIKE	Base Price Less/Equal 0
ZERO_NEG_VOLA	Volatility Less/Equal 0

Functionality
Function module RM_DOUBLE_KOCK_PRICE_EURO is used for calculating theprice of a European double knock in or double knock out option accordingto the procedure by Ikeda and Kunitomo. There are the followingcharacteristic values:
Call-Down-And-Out-Up-And-Out
Call-Down-And-In-Up-And-In
Put-Down-And-Out-Up-And-Out
Put-Down-And-In-Up-And-In
The PUT_CALL and IN_OUT parameters are entered accordingly.