Component 
Resolution  Exotic Options 




Function Definition 
oX_LookBarrier(Style, ValueDate, BarrierEndDate, ExpiryDate, Spot, Strike, Barrier, RiskFree, Carry, Volatility, OutputFlag) Calculates the fair value and Greeks for a lookbarrier option using Bermin's (1996) method 




Function Parameters 



Parameters 
Description 

Parameter Type 

Restrictions 

. 

Style 

Barrier style. 

Enumerated Constant 

1  Up & In 

ValueDate 

Valuation date. 

Date 


BarrierEndDate 

Date upon which the barrier ceases to exist, and the lookback period begins. 

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 


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 and Greeks 
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