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\name{BarrierOption}
\alias{BarrierOption}
\alias{BarrierOption.default}
\title{Barrier Option evaluation using Closed-Form solution}
\description{
This function evaluations an Barrier option on a common stock
using a closed-form solution. The option value as well as the common first
derivatives ("Greeks") are returned.}
\usage{
\method{BarrierOption}{default}(barrType, type, underlying, strike,
dividendYield, riskFreeRate, maturity,
volatility, barrier, rebate=0.0)
}
\arguments{
\item{barrType}{A string with one of the values \code{downin},
\code{downout}, \code{upin} or \code{upout}}
\item{type}{A string with one of the values \code{call} or \code{put}}
\item{underlying}{Current price of the underlying stock}
\item{strike}{Strike price of the option}
\item{dividendYield}{Continuous dividend yield (as a fraction) of the stock}
\item{riskFreeRate}{Risk-free rate}
\item{maturity}{Time to maturity (in fractional years)}
\item{volatility}{Volatility of the underlying stock}
\item{barrier}{Option barrier value}
\item{rebate}{Optional option rebate, defaults to 0.0}
}
\value{
An object of class \code{BarrierOption} (which inherits from class
\code{\link{Option}}) is returned. It contains a list with the
following components:
\item{value}{Value of option}
\item{delta}{Sensitivity of the option value for a change in the underlying}
\item{gamma}{Sensitivity of the option delta for a change in the underlying}
\item{vega}{Sensitivity of the option value for a change in the
underlying's volatility}
\item{theta}{Sensitivity of the option value for a change in t, the
remaining time to maturity}
\item{rho}{Sensitivity of the option value for a change in the
risk-free interest rate}
\item{dividendRho}{Sensitivity of the option value for a change in the
dividend yield}.
Note that under the new pricing framework used in QuantLib, binary
pricers do not provide analytics for 'Greeks'. This is expected to be
addressed in future releases of QuantLib.
}
\details{
A closed-form solution is used to value the Barrier Option. In the
case of Barrier options, the calculations are from Haug's "Option
pricing formulas" book (McGraw-Hill).
Please see any decent Finance textbook for background reading, and
the \code{QuantLib} documentation for details on the \code{QuantLib}
implementation.
}
\references{\url{https://www.quantlib.org/} for details on \code{QuantLib}.}
\author{Dirk Eddelbuettel \email{edd@debian.org} for the \R interface;
the QuantLib Group for \code{QuantLib}}
\note{The interface might change in future release as \code{QuantLib}
stabilises its own API.}
\seealso{\code{\link{AmericanOption}},\code{\link{EuropeanOption}}}
\examples{
BarrierOption(barrType="downin", type="call", underlying=100,
strike=100, dividendYield=0.02, riskFreeRate=0.03,
maturity=0.5, volatility=0.4, barrier=90)
}
\keyword{misc}
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