SAP ABAP Function Module RM_DIGITAL_PRICE_EURO_BS (Price of a Hit at End Digital Option (Up=Call,Down=Put) Acc. to 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_DIGITAL_PRICE_EURO_BS	Price of a Hit at End Digital Option (Up=Call,Down=Put) Acc. to Rubinstein
Function Group	RMOP	Risk Management: Option Control
Program Name	SAPLRMOP	Risk Management: Option Control
INCLUDE Name	LRMOPU04

Parameters

Type	Parameter Name	Typing	Associated Type	Default value	Optional	Pass Value	Short text
Exporting	OPT_PRICE	TYPE	F		☐	☑	Output of Price According to Rubinstein or B&S
Exporting	OPT_DELTA	TYPE	F		☐	☑	Output of Analytical Delta Acc. to Category
Importing	OPT_DAYS	TYPE	I		☐	☐	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_SPOT	TYPE	F		☐	☐	Current Rate of Underlying
Importing	OPT_STRIKE	TYPE	F		☐	☐	Base Price of Option
Importing	OPT_REBATE	TYPE	VTVFGOP08-REBETR		☐	☐	Fixed Repayment Amount When Exercised
Importing	I_VOLA	TYPE	F		☐	☐	Volatility of Underlying (10.2 for 10,2%)
Importing	PUT_CALL	TYPE	C		☐	☐	Put or Call? 'P' 'C'
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 Rate
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