Documentation/Calc Functions/OPT TOUCH

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Function name:

OPT_TOUCH

Category:

Financial Analysis

Summary:

Calculates the pricing of a touch/no-touch option, calculated using the Black-Scholes option-pricing model.

Syntax:

OPT_TOUCH(Spot; Volatility; Rate; Foreign Rate; Maturity; Lower Barrier; Upper Barrier; Foreign Domestic; In Out; Barrier Monitoring[; Greek])

Returns:

Returns a real number which is the pricing of a touch/no-touch option, calculated using the Black-Scholes option-pricing model.

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.

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.

Foreign Domestic is a string or a reference to the cell containing that string that defines whether the option pays domestic (“d”) or foreign (“f”) currency.

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.

Additional details:

  • For relevant background information, visit the Options (finance) and Black-Scholes model Wikipedia pages.
  • Further information about touch / no-touch options may be found on many financial websites.

Examples:

Formula Description Returns
=OPT_TOUCH(80;0.2;0.05;0;0.5;60;0;"f";"o";"c";"r") The function calculates the pricing of a touch/no-touch option, calculated using the Black-Scholes option-pricing model. 15.5516423091662
=OPT_TOUCH(50;0.25;0.05;0;1;0;55;"d";"i";"c") The function calculates the pricing of a touch/no-touch option, calculated using the Black-Scholes option-pricing model.Here, Greek is omitted so the function will return option price. 0.687637887461456

Related LibreOffice functions:

OPT_BARRIER

OPT_PROB_HIT

OPT_PROB_INMONEY

ODF standard:

None

Equivalent Excel functions:

None