OPT_BARRIER, fonction

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## OPT_BARRIER

Renvoie le prix d'une option barrière, calculé à l'aide du modèle de tarification de l'option Black-Scholes.

For relevant background information, visit the Options (finance) and Black-Scholes model Wikipedia pages.

Cette fonction est disponible depuis LibreOffice 4.0

#### Syntaxe

OPT_BARRIER(Spot; Volatility; Rate; Foreign Rate; Maturity; Strike; LowerBarrier; UpperBarrier; Rebate; PutCall; InOut; BarrierMonitoring; Greek)

Spot is the price / value of the underlying asset and should be greater than 0.0.

Volatility is the annual percentage volatility of the underlying asset expressed as a decimal (for example, enter 30% as 0.3). The value should be greater than 0.0.

Rate is the continuously compounded interest rate. This is a percentage expressed as a decimal (for example, enter 40% as 0.4).

ForeignRate is the continuously compounded foreign interest rate. This is a percentage expressed as a decimal (for example, enter 50% as 0.5).

Maturity is the time to maturity of the option, in years, and should be non-negative.

Barrière est le prix barrière de l'option et ne doit pas être négatif.

LowerBarrier is the predetermined lower barrier price; set to zero for no lower barrier.

UpperBarrier is the predetermined upper barrier price; set to zero for no upper barrier.

rabais est le montant devant être payé à l'échéance si la barrière est atteinte.

Mis_ou_appelé est une chaîne qui définit si l'option est mise ("p") ou appelée ("c").

InOut is a string that defines whether the option is knock-in (“i”) or knock-out (“o”).

BarrierMonitoring is a string that defines whether the barrier is monitored continuously (“c”) or only at the end / maturity (“e”).

Greek (optional) is a string argument. If omitted or set to “value”, “v”, “price”, or “p”, then the function simply returns the option price. If another valid string is entered, the function returns price sensitivities (Greeks) to one of the input parameters. The valid options in this case are as follows.

- “delta” or “d”.

- “gamma” or “g”.

- “theta” or “t”.

- “vega” or “e”.

- “volga” or “o”.

- “vanna” or “a”.

- “rho” or “r”.

- “rhof” or “f”.

#### Exemple

=OPT_BARRIER(30;0,2;0,06;0;1;40;25;0;0,"c";"o";"c") renvoie la valeur 0,4243.

=OPT_BARRIER(50;0,4;0,05;0;0,5;65;0;80;0;"p";"o";"c";"e") renvoie la valeur 10,1585.

Rubriques connexes

OPT_BARRIER

OPT_TOUCH

OPT_PROB_INMONEY

OPT_PROB_HIT

Financial Functions Part One

Financial Functions Part Two

Financial Functions Part Three