SAP ABAP Function Module RM_OPTION_PRICE_AMER_BBSR (Price of an American Standard Option per BBSR Procedure)
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_OPTION_PRICE_AMER_BBSR | Price of an American Standard Option per BBSR Procedure |
| Function Group | RMOP | Risk Management: Option Control |
| Program Name | SAPLRMOP | Risk Management: Option Control |
| INCLUDE Name | LRMOPU13 |
Parameters
| Type | Parameter Name | Typing | Associated Type | Default value | Optional | Pass Value | Short text |
|---|---|---|---|---|---|---|---|
 Exporting |
PRICE | TYPE | F | Premium for Option | |||
| Exporting |
E_INTRINSIC_VALUE | TYPE | F | ||||
 Importing |
DAYS | TYPE | ANY | Term in Days | |||
| Importing |
DOMESTIC_RATE | TYPE | JBD11-IFR | Domestic Interest in Percent (E.g. 5,8 for 5.8%) | |||
| Importing |
I_DAYS_TO_HORIZON | TYPE | ANY | 0 | |||
| Importing |
I_DOMESTIC_FORWARD_RATE | TYPE | ANY | ||||
| Importing |
FOREIGN_RATE | TYPE | JBD11-IFR | Foreign Interest | |||
| Importing |
SPOT | TYPE | F | Current Rate of Underlying | |||
| Importing |
STRIKE | TYPE | F | Strike / Base Price of Option | |||
| Importing |
I_VOLA | TYPE | F | Volatility as Per Annum Percentage Rate (E.g. 11,2) | |||
| Importing |
PUT_CALL | TYPE | C | Indicator for Put or Call | |||
| Importing |
STEPS | TYPE | I | Number of Steps for the Binomial Tree (Max. 100) | |||
 Exception |
NEG_DAYS | TYPE | No or Negative Term | ||||
| Exception |
NEG_STRIKE | TYPE | Negative Strike (0 is Permitted) | ||||
| Exception |
NO_PC | TYPE | Neither Put nor Call | ||||
| Exception |
ZERO_NEG_SPOT | TYPE | No or Negative Rate | ||||
| Exception |
ZERO_NEG_STEPS | TYPE | No or Negative Number of Steps | ||||
| Exception |
ZERO_NEG_VOLA | TYPE | No or Negative Vola | ||||
| 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 | 20020521 |
| SAP Release Created in |
