SAP ABAP Function Module RM_DOUBLE_KNOCK_PRICE_EURO (Pirce of a Double Knock in or Out Option According to Ikeda and Kunitomo)

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_DOUBLE_KNOCK_PRICE_EURO	Pirce of a Double Knock in or Out Option According to Ikeda and Kunitomo
Function Group	RMOP	Risk Management: Option Control
Program Name	SAPLRMOP	Risk Management: Option Control
INCLUDE Name	LRMOPU05

Parameters

Type	Parameter Name	Typing	Associated Type	Default value	Optional	Pass Value	Short text
Exporting	OPT_PRICE	TYPE	F		☐	☑	Option Price
Exporting	OPT_DELTA_ZERO_MAT	TYPE	F		☐	☑	Option Delta (Return only for OPT_DAYS = 0)
Importing	IN_OUT	TYPE	C		☐	☐	Knock Out: 'O', Knock In: 'I'
Importing	OPT_DAYS	TYPE	I		☐	☐	Remaining Term in Days
Importing	OPT_ORIG_DAYS	TYPE	I		☑	☐	Original Term in Days
Importing	OPT_LOWER_BARRIER	TYPE	F		☐	☑	Value Lower Barrier
Importing	OPT_UPPER_BARRIER	TYPE	F		☐	☑	Value Upper Barrier
Importing	OPT_LOWER_CURVE	TYPE	F	0	☑	☐	Growth Coeefficient Lower Barrier
Importing	OPT_UPPER_CURVE	TYPE	F	0	☑	☐	Growth Coefficient Upper Barrier
Importing	OPT_DOMESTIC_RATE	TYPE	JBD11-IFR		☐	☐	Domestic Interest Rate in Percent
Importing	OPT_FOREIGN_RATE	TYPE	JBD11-IFR		☐	☐	Foreign Interest Rate in Percent
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 in Percent
Importing	PUT_CALL	TYPE	C		☐	☐	Put: 'P', Call: 'C'
Exception	NEG_DAYS	TYPE			☐	☑	Negative Remaining Term
Exception	NO_PC	TYPE			☐	☑	PUT_CALL neither 'P' nor 'C'
Exception	ZERO_NEG_SPOT	TYPE			☐	☑	Current Underlying Rate Less/Equal 0
Exception	ZERO_NEG_STRIKE	TYPE			☐	☑	Base Price Less/Equal 0
Exception	ZERO_NEG_VOLA	TYPE			☐	☑	Volatility Less/Equal 0
Exception	ZERO_NEG_LOWER_BARRIER	TYPE			☐	☑	Lower Barrier Less than 0
Exception	UPPER_LT_LOWER	TYPE			☐	☑	Upper Barrier Less than Upper Barrier
Exception	NO_IN_OUT	TYPE			☐	☑	IN_OUT neither 'I' nor 'O'
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