Component 
Resolution  Exotic Options 




Function Definition 
oX_SoftBarrier_Imp(OptionValue, Style, ValueDate, ExpiryDate, Spot, LowerBarrier, UpperBarrier, RiskFree, Carry, Volatility) Given the option value, calculates the implied strike for a soft barrier option using Hart and Ross's (1994) method 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

OptionValue 

Observed value of the option. 

Double 


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 


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 

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