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oX_AdjustBarrier( ) Function

Component

Resolution - Exotic Options

 

 

Function Definition

oX_AdjustBarrier(MonitoringFreq, Spot, Barrier, Volatility)

Adjusts the barrier to take into account the monitoring frequency for options that are not continuously monitored

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

MonitoringFreq

 

Frequency with which the Spot is checked against the Barrier

 

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly
7 - Daily
8 - Hourly
9 - Continuously

Spot

 

Current market price of the underlying asset.

 

Double

 

Barrier

 

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

 

Double

 

Volatility

 

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

 

Double

 

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