| Parameter | Reference | Type | Length | Default | Optional | Text |
|---|---|---|---|---|---|---|
| I_VOLA | F | F | 8 | Volatility of Underlying (10.2 for 10,2%) | ||
| OPT_BARRIER | F | F | 8 | Rate at Which Rebate is Paid | ||
| 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 | One-Off Payment When Barrier is Reached | ||
| OPT_SPOT | F | F | 8 | Current Rate of Underlying | ||
| UP_DOWN | C | C | 0 | 'U' | X | Indicator: Is Barrier Up or Down? |
| Parameter | Reference | Type | Length | Text |
|---|---|---|---|---|
| OPT_PRICE | F | F | 8 | Output Price According to Merton or B&S |
| Exception | Text |
|---|---|
| NEG_BARRIER | Negative Barrier |
| NEG_DAYS | No or Negative Remaining Term |
| NO_UD | Up - Down Indicator Not U or D |
| ZERO_NEG_SPOT | No or Negative Spot Rate |
| ZERO_NEG_VOLA | No or Negative Vola |
|
Function module ONETOUCH_PRICE_EURO is used for calculating the price ofa one-touch digital option. A one-touch digital pays a fixed amount, therebate, immediately, when the agreed rate limit (barrier) has beenreached. This can be at any time during the term. A one-touch can onlybe European, since premature exercising is not possible (the option paysautomatically the first time it is in moneyness). This function module is also used for calculating the rebate part of anout barrier option. |