SAP ABAP Function Module OPTION_PRICE_EURO_BS (Preis einer europäischen Standardoption (Call,Put) nach Merton)
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
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
Basic Data
| Function Module | OPTION_PRICE_EURO_BS | Preis einer europäischen Standardoption (Call,Put) nach Merton |
| Function Group | TBOP | Option valuation functions |
| Program Name | SAPLTBOP | |
| INCLUDE Name | LTBOPU01 |
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 Merton 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_SPOT | TYPE | JBROPTI-OSKURS | Aktueller Kurs des underlying | |||
| Importing |
OPT_STRIKE | TYPE | JBROPTI-OSKURS | Basispreis der Option | |||
| Importing |
OPT_UNDERLYING | TYPE | JBRBEST-SANLF | 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 | 'C' | Put oder Call? 'P' 'C' | |||
| Importing |
BASISTAGE | TYPE | I | 365 | |||
 Exception |
NEG_DAYS | TYPE | Keine oder negative Restlaufzeit | ||||
| Exception |
NEG_DOM_RATE | TYPE | |||||
| Exception |
NEG_FOR_RATE | TYPE | |||||
| Exception |
NO_PC | TYPE | Weder 'P' noch 'C' übergeben | ||||
| Exception |
ZERO_NEG_SPOT | TYPE | |||||
| 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 |
