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RM_DOUBLE_KNOCK_PRICE_EURO - Pirce of a Double Knock in or Out Option According to Ikeda and Kunitomo

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Functionality

Function module RM_DOUBLE_KOCK_PRICE_EURO is used for calculating the price of a European double knock in or double knock out option according to the procedure by Ikeda and Kunitomo. There are the following characteristic values:

Call-Down-And-Out-Up-And-Out
Call-Down-And-In-Up-And-In
Put-Down-And-Out-Up-And-Out
Put-Down-And-In-Up-And-In

The PUT_CALL and IN_OUT parameters are entered accordingly.

Example

Notes

Further information

Parameters

IN_OUT
I_VOLA
OPT_DAYS
OPT_DELTA_ZERO_MAT
OPT_DOMESTIC_RATE
OPT_FOREIGN_RATE
OPT_LOWER_BARRIER
OPT_LOWER_CURVE
OPT_ORIG_DAYS
OPT_PRICE
OPT_SPOT
OPT_STRIKE
OPT_UPPER_BARRIER
OPT_UPPER_CURVE
PUT_CALL

Exceptions

NEG_DAYS
NO_IN_OUT
NO_PC
NO_VALUE
UPPER_LT_LOWER
ZERO_NEG_LOWER_BARRIER
ZERO_NEG_SPOT
ZERO_NEG_STRIKE
ZERO_NEG_VOLA

Function Group

RMOP

ABAP Short Reference   Fill RESBD Structure from EBP Component Structure  
This documentation is copyright by SAP AG.

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