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RM_OPTION_PRICE_EURO_BS - Price of a European Standard Option (Call, Put) According to Merton

CPI1466 during Backup   CPI1466 during Backup  
This documentation is copyright by SAP AG.

This function module is used for calculating the price and the delta of a European standard call or put option according to Merton's procedure.

Parameters

E_EXERCISE_PROBABILITY
E_INTRINSIC_VALUE
I_DAYS_TO_HORIZON
I_DOMESTIC_FORWARD_RATE
I_VOLA
OPT_DAYS
OPT_DELTA
OPT_DOMESTIC_RATE
OPT_FOREIGN_RATE
OPT_GAMMA
OPT_PRICE
OPT_SPOT
OPT_STRIKE
OPT_THETA
OPT_VEGA
PUT_CALL

Exceptions

NEG_DAYS
NO_PC
ZERO_NEG_SPOT
ZERO_NEG_STRIKE
ZERO_NEG_VOLA

Function Group

RMOP

BAL_S_LOG - Application Log: Log header data   Fill RESBD Structure from EBP Component Structure  
This documentation is copyright by SAP AG.

Length: 681 Date: 20240523 Time: 130243     sap01-206 ( 24 ms )