SAP ABAP Function Module RM_OPTION_PRICE_EURO_BS (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

Basic Data

Function Module	RM_OPTION_PRICE_EURO_BS	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	LRMOPU14

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	E_EXERCISE_PROBABILITY	TYPE	F		☐	☐
Exporting	E_INTRINSIC_VALUE	TYPE	F		☐	☐
Exporting	OPT_DELTA	TYPE	F		☐	☐	Output of Analytical Delta Acc. to Category
Exporting	OPT_GAMMA	TYPE	F		☐	☐
Exporting	OPT_VEGA	TYPE	F		☐	☐
Exporting	OPT_THETA	TYPE	F		☐	☐
Importing	OPT_DAYS	TYPE	ANY		☐	☐	Remaining Term in Days
Importing	OPT_DOMESTIC_RATE	TYPE	ANY		☐	☐	Domestic Interest Rate in Decimal Number (5.8 for 5,8%)
Importing	I_DAYS_TO_HORIZON	TYPE	ANY	0	☐	☐
Importing	I_DOMESTIC_FORWARD_RATE	TYPE	ANY		☑	☐
Importing	OPT_FOREIGN_RATE	TYPE	ANY		☐	☐	Foreign Interest Rate
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'
Exception	NEG_DAYS	TYPE			☐	☑	No or Negative Remaining Term
Exception	NO_PC	TYPE			☐	☑	Transfer Neither 'P' nor 'C'
Exception	ZERO_NEG_SPOT	TYPE			☐	☑
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	20020521
SAP Release Created in