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oX_Barrier( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_Barrier(CallPut, Style, RebateTiming, ValueDate, ExpiryDate, Spot, Strike, Barrier, Rebate, RiskFree, Carry, Volatility, OutputFlag)

Calculates the fair value and Greeks for a standard barrier option

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

Style

 

Barrier style.

 

Enumerated Constant

 

1 - Up & In
2 - Up & Out
3 - Down & In
4 - Down & Out

RebateTiming

 

When the rebate is paid.

 

Enumerated Constant

 

1 - At Expiry
2 - At Barrier Breach

ValueDate

 

Valuation date.

 

Date

 

ExpiryDate

 

Expiry date of the option.

 

Date

 

Spot

 

Current market price of the underlying asset.

 

Double

 

Strike

 

Strike price of the option.

 

Double

 

Barrier

 

Asset price at which the option either "knocks in" or "knocks out".

 

Double

 

Rebate

 

Rebate paid if the option is knocked out prior to expiry.

 

Double

 

RiskFree

 

Risk free interest rate, expressed as an annually compounded Actual 365 rate.

 

Double

 

Carry

 

Net cost of carry, expressed as an annually compounded Actual 365 rate.

 

Double

 

Volatility

 

Annualized volatility of the underlying asset, expressed as a decimal.

 

Double

 

OutputFlag

 

Indicates which result, or set of results, will be displayed in the worksheet. When returning more than one value, the function must be entered as an array function.

 

Enumerated Constant

 

0 - Value & Greeks
1 - Value
2 - Delta
3 - Gamma
4 - Theta
5 - Vega
6 - Rho
7 - Phi
8 - Sensitivity to Barrier

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