SAP ABAP Function Module RM_BARRIER_PRICE_EURO_RUB (Price of a European Standard Option (Call, Put) According to Merton)
Hierarchy
☛
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷
FTBB (Package) Risk Management Basis
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services⤷
FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer⤷
FTBB (Package) Risk Management Basis
Basic Data
| Function Module | RM_BARRIER_PRICE_EURO_RUB | Price of a European Standard Option (Call, Put) According to Merton |
| Function Group | RMOP | Risk Management: Option Control |
| Program Name | SAPLRMOP | Risk Management: Option Control |
| INCLUDE Name | LRMOPU03 |
Parameters
| Type | Parameter Name | Typing | Associated Type | Default value | Optional | Pass Value | Short text |
|---|---|---|---|---|---|---|---|
 Exporting |
OPT_PRICE | TYPE | F | Output Price According to Merton or B&S | |||
| Exporting |
OPT_DELTA_ZERO_MAT | TYPE | F | ||||
 Importing |
IN_OUT | TYPE | Indicator for In / Out | ||||
| Importing |
OPT_BARRIER | TYPE | F | Barrier | |||
| Importing |
OPT_DAYS | TYPE | ANY | Remaining Term in Days | |||
| Importing |
OPT_DOMESTIC_RATE | TYPE | JBD11-IFR | Domestic Interest Rate in Decimal Number (5.8 for 5,8%) | |||
| Importing |
OPT_FOREIGN_RATE | TYPE | JBD11-IFR | Foreign Interest Rate | |||
| Importing |
OPT_REBATE | TYPE | VTVFGOP08-REBETR | 0 | Repayment, if Not Exerciseable | ||
| Importing |
OPT_REBSIGN | TYPE | VTVFGOP08-RESSIGN | '+' | Direction of Rebate Amount | ||
| Importing |
OPT_SPOT | TYPE | F | Current Rate of Underlying | |||
| Importing |
OPT_STRIKE | TYPE | F | Base Price of Option | |||
| Importing |
I_VOLA | TYPE | F | Volatility of Underlying (10.2 for 10,2%) | |||
| Importing |
PUT_CALL | TYPE | C | Put or Call? 'P' 'C' | |||
| Importing |
UP_DOWN | TYPE | C | Indicator for Barrier Type Up or Down | |||
 Exception |
NEG_BARRIER | TYPE | Negative Barrier, Bariier = = Internal Beh. | ||||
| Exception |
NEG_DAYS | TYPE | No or Negative Remaining Term | ||||
| Exception |
NO_PC | TYPE | Transfer Neither 'P' nor 'C' | ||||
| Exception |
ZERO_NEG_SPOT | TYPE | No or Negative Current Price | ||||
| Exception |
ZERO_NEG_STRIKE | TYPE | No or Negative Strike | ||||
| Exception |
ZERO_NEG_VOLA | TYPE | No or 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 | 20011004 |
| SAP Release Created in |
