| Parameter | Reference | Type | Length | Default | Optional | Text |
|---|---|---|---|---|---|---|
| I_VOLA | F | F | 8 | Volatility of the 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_SPOT | F | F | 8 | Current Rate Underlying | ||
| OPT_STRIKE | F | F | 8 | Base Price of Option | ||
| PUT_CALL | C | C | 0 | 'C' | X | Put: 'P', Call: 'C' |
| Parameter | Reference | Type | Length | Text |
|---|---|---|---|---|
| OPT_DELTA | F | F | 8 | Option Delta |
| OPT_PRICE | F | F | 8 | Option Price |
| Exception | Text |
|---|---|
| NEG_DAYS | Negative Remaining Term |
| NO_PC | Neither Put nor Call |
| ZERO_NEG_SPOT | Negative or No Rate - Underlying |
| ZERO_NEG_STRIKE | Negative or No Strike |
| ZERO_NEG_VOLA | Negative or No Volatility |
|
Functionality |