| Parameter | Reference | Type | Length | Default | Optional | Text |
|---|---|---|---|---|---|---|
| I_DAYS_TO_HORIZON | ANY | A | 0 | 0 | ||
| I_DOMESTIC_FORWARD_RATE | ANY | A | 0 | X | ||
| I_VOLA | F | F | 8 | Volatility of Underlying (10.2 for 10,2%) | ||
| OPT_DAYS | ANY | A | 0 | Remaining Term in Days | ||
| OPT_DOMESTIC_RATE | ANY | A | 0 | Domestic Interest Rate in Decimal Number (5.8 for 5,8%) | ||
| OPT_FOREIGN_RATE | ANY | A | 0 | Foreign Interest Rate | ||
| 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 |
|---|---|---|---|---|
| E_EXERCISE_PROBABILITY | F | F | 8 | |
| E_INTRINSIC_VALUE | F | F | 8 | |
| OPT_DELTA | F | F | 8 | Output of Analytical Delta Acc. to Category |
| OPT_GAMMA | F | F | 8 | |
| OPT_PRICE | F | F | 8 | Output Price According to Merton or B&S |
| OPT_THETA | F | F | 8 | |
| OPT_VEGA | F | F | 8 |
| Exception | Text |
|---|---|
| NEG_DAYS | No or Negative Remaining Term |
| NO_PC | Transfer Neither 'P' nor 'C' |
| ZERO_NEG_SPOT | |
| ZERO_NEG_STRIKE | No or Negative Strike |
| ZERO_NEG_VOLA | No or Negative Vola |
|
This function module is used for calculating the price and the delta ofa European standard call or put option according to Merton's procedure. |