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oX_DoubleBarrier( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_DoubleBarrier(CallPut, InOut, ValueDate, ExpiryDate, Spot, Strike, LowerBarrier, UpperBarrier, RiskFree, Carry, Volatility, LowerCurvature, UpperCurvature, OutputFlag)

Calculates the fair value and Greeks for a double barrier option

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

CallPut

 

Option type.

 

Enumerated Constant

 

1 - Call
2 - Put

InOut

 

Barrier type.

 

Enumerated Constant

 

1 - In
2 - Out

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

 

LowerBarrier

 

Lower value at which the option will be knocked in/knocked out.

 

Double

 

UpperBarrier

 

Upper value at which the option will be knocked in/knocked out.

 

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

 

LowerCurvature

 

Curvature of the lower barrier.

 

Double

 

UpperCurvature

 

Curvature of the upper barrier.

 

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 and Greeks
1 - Value
2 - Delta
3 - Gamma
4 - Theta
5 - Vega
6 - Rho
7 - Phi
8 - Sensitivity to Lower Barrier
9 - Sensitivity to Upper Barrier
10 - Sensitivity to Lower Curvature
11 - Sensitivity to Upper Curvature

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