SAP ABAP Function Module RM_COMPOUND_OPTION_EURO (Price of a Compound Option According to Geske and Rubinstein)

Hierarchy

☛ 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_COMPOUND_OPTION_EURO	Price of a Compound Option According to Geske and Rubinstein
Function Group	RMOP	Risk Management: Option Control
Program Name	SAPLRMOP	Risk Management: Option Control
INCLUDE Name	LRMOPU06

Parameters

Type	Parameter Name	Typing	Associated Type	Default value	Optional	Pass Value	Short text
Exporting	OPT_PRICE	TYPE	F		☐	☑
Exporting	OPT_DELTA_ZERO_MAT	TYPE	F		☐	☑
Importing	OPT_DAYS	TYPE	I		☐	☐
Importing	OPT_UL_DAYS	TYPE	I		☐	☐
Importing	OPT_DOMESTIC_RATE	TYPE	JBD11-IFR		☐	☐
Importing	OPT_FOREIGN_RATE	TYPE	JBD11-IFR		☐	☐
Importing	OPT_SPOT	TYPE	F		☐	☐
Importing	OPT_STRIKE	TYPE	F		☐	☐
Importing	OPT_UL_STRIKE	TYPE	F		☐	☐
Importing	I_VOLA	TYPE	F		☐	☐
Importing	PUT_CALL	TYPE	C		☐	☐
Importing	UL_PUT_CALL	TYPE	C		☐	☐
Exception	NEG_DAYS	TYPE			☐	☑
Exception	NO_PC	TYPE			☐	☑
Exception	ZERO_NEG_SPOT	TYPE			☐	☑
Exception	ZERO_NEG_STRIKE	TYPE			☐	☑
Exception	ZERO_NEG_VOLA	TYPE			☐	☑
Exception	NO_VALUE	TYPE			☐	☑

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