Ansicht
Dokumentation

RM_DIGITAL_PRICE_EURO_BS - Price of a Hit at End Digital Option (Up=Call,Down=Put) Acc. to Rubinstein

General Material Data   ROGBILLS - Synchronize billing plans  
This documentation is copyright by SAP AG.

Function module DIGITAL_PRICE_EURO_BS calculates the price of a DIGITAL option. A digital option is a bet on an event that is defined by the strike and by the Up(=Call) or Down(=Put) specified.

A digital Up 1,67 for the US Dollar is a bet that the Dollar will have a higher rate than 1,6700 DEM/USD when exercised. It is irrelevant how high the rate is before or afterwards. When exercised, a fixed amount - REBATE - is paid.

Parameters

I_VOLA
OPT_DAYS
OPT_DELTA
OPT_DOMESTIC_RATE
OPT_FOREIGN_RATE
OPT_PRICE
OPT_REBATE
OPT_SPOT
OPT_STRIKE
PUT_CALL

Exceptions

NEG_DAYS
NO_PC
ZERO_NEG_SPOT
ZERO_NEG_STRIKE
ZERO_NEG_VOLA

Function Group

RMOP

General Data in Customer Master   CPI1466 during Backup  
This documentation is copyright by SAP AG.

Length: 833 Date: 20240523 Time: 150216     sap01-206 ( 26 ms )