# Documentation/Calc Functions/OPT BARRIER

Jump to navigation Jump to search

OPT_BARRIER

## Category:

Financial Analysis

## Summary:

Calculates the pricing for a barrier option, using the Black-Scholes option-pricing model.

## Syntax:

OPT_BARRIER(Spot; Volatility; Rate; Foreign Rate; Maturity; Strike; Lower Barrier; Upper Barrier; Rebate; Put Call; In Out; Barrier Monitoring[; Greek])

## Returns:

Returns a real number which is the pricing for a barrier option, using the Black-Scholes option-pricing model for the given parameters.

## Arguments:

Spot is a positive real number or a reference to the cell containing that number which is the price/value of the underlying asset and should be greater than 0.0.

Volatility is a positive real number or a reference to the cell containing that number which 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 a real number or a reference to the cell containing that number which is the continuously compounded interest rate. This is a percentage expressed as a decimal (for example, enter 40% as 0.4).

Foreign Rate is a real number or a reference to the cell containing that number which is the continuously compounded foreign interest rate. This is a percentage expressed as a decimal (for example, enter 50% as 0.5).

Maturity is a real number or a reference to the cell containing that number which is the time to maturity of the option, in years, and should be non-negative.

Strike is a real number or a reference to the cell containing that number which is the strike price of the option and should be non-negative.

Lower Barrier is a real number or a reference to the cell containing that number which is the predetermined lower barrier price; set to zero for no lower barrier.

Upper Barrier is a real number or a reference to the cell containing that number which is the predetermined upper barrier price; set to zero for no upper barrier.

Rebate is a real number or a reference to the cell containing that number which is the amount of money to be paid at maturity if the barrier is hit.

Put Call is a string or a reference to the cell containing that string that defines whether the option is a put (“p”) or a call (“c”).

In Out is a string or a reference to the cell containing that string that defines whether the option is knock-in (“i”) or knock-out (“o”).

Barrier Monitoring is a string or a reference to the cell containing that string that defines whether the barrier is monitored continuously (“c”) or only at the end/maturity (“e”).

Greek is a string argument or a reference to the cell containing that string. 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”.
• If for any of the above arguments, the mentioned constraints are not followed then, the function returns an error value.

## Examples:

Formula Description Returns
=OPT_BARRIER(30;0.2;0.06;0;1;40;25;0;0;"c";"o";"c") The function calculates the pricing for a barrier option, calculated using the Black-Scholes option pricing model. 0.424281900452897
=OPT_BARRIER(50;0.4;0.05;0;0.5;65;0;80;0;"p";"o";"c";"e") The function calculates the pricing for a barrier option, calculated using the Black-Scholes option pricing model. 10.1584598399095

None

None