SAP ABAP Function Module DIGITAL_PRICE_EURO_BS (Preis einer Hit at end Digital Option (Up=Call,Down=Put) nach Rubinstein)
Hierarchy
☛
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷ FTB (Package) Applic. development R/3 Treasury risk simulation analysis
⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷ FTB (Package) Applic. development R/3 Treasury risk simulation analysis
Basic Data
Function Module | DIGITAL_PRICE_EURO_BS | Preis einer Hit at end Digital Option (Up=Call,Down=Put) nach Rubinstein |
Function Group | TBOP | Option valuation functions |
Program Name | SAPLTBOP | |
INCLUDE Name | LTBOPU04 |
Parameters
Type | Parameter Name | Typing | Associated Type | Default value | Optional | Pass Value | Short text |
---|---|---|---|---|---|---|---|
Exporting | OPT_DELTA | TYPE | Ausgabe des analytischen Deltas nach Typ | ||||
Exporting | OPT_PRICE | TYPE | Ausgabe des Preises nach Rubinstein bzw. B&S | ||||
Importing | OPT_DAYS | TYPE | Restlaufzeit in Tagen | ||||
Importing | OPT_DOMESTIC_RATE | TYPE | JBD11-IFR | Inlandszinssatz in Dezimalzahl (5.8 für 5,8%) | |||
Importing | OPT_FOREIGN_RATE | TYPE | JBD11-IFR | Auslandszinssatz | |||
Importing | OPT_REBATE | TYPE | JBROPTI-REBETR | Fester Rückzahlungsbetrag im Ausübungsfall | |||
Importing | OPT_REBSIGN | TYPE | JBROPTI-RESSIGN | '+' | Vorzeichen der Rebatesumme | ||
Importing | OPT_SPOT | TYPE | JBROPTI-OSKURS | Aktueller Kurs des underlying | |||
Importing | OPT_STRIKE | TYPE | JBROPTI-OSKURS | Basispreis der Option | |||
Importing | OPT_UNDERLYING | TYPE | JBRBEST-SANLF | 'W' | Typ des underlyings: 'C', 'A', 'F', 'W' für Währ | ||
Importing | OPT_VOLA | TYPE | VTVSZCVO-VOLA | Volatilität des Underlying (10.2 für 10,2%) | |||
Importing | PUT_CALL | TYPE | Put oder Call? 'P' 'C' | ||||
Importing | BASISTAGE | TYPE | I | 365 | |||
Exception | NEG_DAYS | TYPE | Keine oder negative Restlaufzeit | ||||
Exception | NEG_DOM_RATE | TYPE | Negativer Inlandszins | ||||
Exception | NEG_FOR_RATE | TYPE | Negativer Auslandszins | ||||
Exception | NO_PC | TYPE | Weder 'P' noch 'C' übergeben | ||||
Exception | ZERO_NEG_SPOT | TYPE | Kein oder negativer Kurs | ||||
Exception | ZERO_NEG_STRIKE | TYPE | Kein oder negativer Strike | ||||
Exception | ZERO_NEG_VOLA | TYPE | Keine oder negative Vola | ||||
Processing Type
Normal Function Module | |
Remote-Enabled Module | BaseXML supported |
Update Module | Start immediately |
Immediate Start, No Restart | |
Start Delayed | |
Coll.run | |
JAVA Module Callable from ABAP | |
Remote-Enabled JAVA Module | |
Module Callable from JAVA |
History
Last changed by/on | SAP | 19970710 |
SAP Release Created in |