BarrierSoft

(OptionType, ModelStatistic, Asset, Strike, LowerBarrier, UpperBarrier, TimeExpire, Volatility, InterestRate, YieldRate, MarketPrice, Monitoring, TimeFormat, InterestType, YieldType)

Argument

Description

OptionType

Alphanumeric value indicating the type of option:

•Down_In_Call = 1 or "dic" (Down-and-In Call)

•Down_Out_Call = 2 or "doc" (Down-and-Out Call)

•Up_In_Put = 3 or "uip" (Up-and-In Put)

•Up_Out_Put = 4 or "uop" (Up-and-Out Put)

ModelStatistic

Numeric value indicating the type of function required for the return value:

•Theoretical = 1

•Delta = 2

•Gamma = 3

•Theta = 4

•ImpliedVol = 5

•Vega = 6

•Rho = 7

•Psi = 8

•Lambda = 9

•StrikeSensitivity = 11

•ImpliedStrike = 13

Asset

The price of the underlying asset. Must be > 0.

Strike

The price at which the asset can be purchased if the option is a call or sold if the option is a put. Must be > 0.

LowerBarrier

The lower barrier price level.

UpperBarrier

The upper barrier price level.

TimeExpire

Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be > 0.

Volatility

Annualized volatility of the underlying security. Must be > 0.

InterestRate

Risk-free interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument.

Must be > 0.

YieldRate

Yield, expressed as a percentage (dividends or interest yield), of the underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldType argument.

MarketPrice

Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0.

Monitoring

Optional. Alphanumeric value indicating the frequency of the barrier monitoring. If omitted, a ContinuousSample is used.

TimeFormat

Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either:

•Days = 0 or "D" (case insensitive)

•Years = 1 or "Y" (case insensitive)

InterestType

Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used.

YieldType

Optional. Alphanumeric value indicating the type of YieldRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used.

Calculate all of functions for a down-and-In soft barrier call option whose asset price 1 year from expiration is $23, the exercise price of the option is $20, the lower barrier is $18, the upper barrier is $25, the risk-free interest rate is 6.0% per annum, the yield rate is 4% per annum, and the annual volatility is 25%. The barrier monitoring and all of the rates are continuous. So,

Input

Output

Variable

Value

Function

Name

Value

OptionType

1 (Down-In Call)

1

Theoretical:

2.735612

Asset

23

2

Delta:

-0.475246

Strike

20

3

Gamma:

0.072759

LowerBarrier

18

4

Theta:

-0.002247

UpperBarrier

25

5

Implied Vol.:

0.292274

InterestRate

6%

6

Vega:

0.059808

YieldRate

4%

7

Rho:

0.090951

TimeExpire

1

8

Psi:

-0.118307

Volatility

25%

9

Lambda:

-3.995688

TimeFormat

Years

11

Strike Sensitivity:

-0.458993

MarketPrice

3

13

Implied Strike:

19.444263

Single Barrier

Single Barrier Trinomial

Double Barrier

Lookback Barrier

Partial Start Barrier

Partial End Barrier

Partial Two Asset Barrier

Two Asset Barrier