Component 
Resolution  Exotic Options 




Function Definition 
oX_SoftBarrier(Style, ValueDate, ExpiryDate, Spot, Strike, LowerBarrier, UpperBarrier, RiskFree, Carry, Volatility, OutputFlag) Calculates the fair value and Greeks for a soft barrier option using Hart and Ross's (1994) method 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

Style 

Barrier style. 

Enumerated Constant 

1  Up & In 

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 bound of the range of asset prices over which the option is progressively knocked in/knocked out. 

Double 


UpperBarrier 

Upper bound of the range of asset prices over which the option is progressively 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 


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 
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