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RM_CALL_OPTION_GREEKS - Call Module Calculation Greeks (Shell for RM_CALL_OPTION)

BAL Application Log Documentation   PERFORM Short Reference  
This documentation is copyright by SAP AG.

Calculation of the net present value of an option for a transaction

So far, the following option categories can be calculated:

- Standard European

- Barrier (Up&Out, Up&In, Down&Out, Down&In)

- Hit at end binary (digital)

- One touch binary (digital)

American options will come later (for underlying 620 and 712,

swaps and bonds), for all others they can be calculated (standard

American only)

Depending on the exercise type (European, American) we differentiate within the exercise type according to option category (see above).

The Opt_Underlying indicator must be set to 'A' for stocks, because the delta for stocks is calculated differently than for other underlyings.

Parameters

DELTA
DIVIDEND
EVALUATION_DATE
GAMMA
I_NO_PROT
I_STRIKE
I_VALUATION_MODEL
I_VOLA
MATURITY
OPTION_DATA
PRESENT_VALUE
SFGTYP
SPOT
STEPS
THETA
VEGA
ZERO_DOMRATE

Exceptions

NEG_BARRIER
NEG_DAYS
NO_IO
NO_PC
NO_UD
ZERO_NEG_SPOT
ZERO_NEG_STEPS
ZERO_NEG_STRIKE
ZERO_NEG_VOLA

Function Group

RMOP

BAL_S_LOG - Application Log: Log header data   Vendor Master (General Section)  
This documentation is copyright by SAP AG.

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