Updated: 31 Oct 2013

Use AdjustedBarrier to convert an hourly, daily, weekly, or monthly barrier value to a continuous barrier value.

SELECT [wctOptions].[wct].[AdjustedBarrier](

<@AssetPrice, float,>

,<@BarrierPrice, float,>

,<@Volatility, float,>

,<@Frequency, nvarchar(4000),>)

the price of the underlying asset.* @AssetPrice* is an expression of type **float** or of a type that can be implicitly converted to **float**.

For a knock-in option, *@BarrierPrice* is the value at which the option comes into existence if the *@AssetPrice* crosses the barrier. For a knock-out option, *@BarrierPrice* is the value at which the option is extinguished if the *@AssetPrice* crosses the barrier. *@BarrierPrice* must be of a type **float** or of a type that implicitly converts to **float**.

the volatility of the relative price change of the underlying asset. *@Volatility* is an expression of type **float** or of a type that can be implicitly converted to **float**.

identifies the monitoring frequency for the barrier.* @Frequency* is an expression of type **nvarchar** or of a type that can be implicitly converted to **nvarchar**. Use 'H' for hourly, 'D' for daily, 'W' for weekly, and 'M' for monthly.

float

· *@Volatility* must be greater than zero (*@Volatility* > 0).

· *@AssetPrice* must be greater than zero (*@AssetPrice* > 0).

· *@BarrierPrice* must be greater than 0.

SELECT wct.AdjustedBarrier(

100 --AssetPrice

,97 --BarrierPrice

,.20 --Volatility

,'D' --Frequency

) as AdjustedBarrier

This produces the following result.

AdjustedBarrier

----------------------

96.4102036452333