AdjustedBarrier
Updated: 31 Oct 2013
Use AdjustedBarrier to convert an hourly, daily, weekly, or monthly barrier value to a continuous barrier value.
Syntax
SELECT [wctOptions].[wct].[AdjustedBarrier](
<@AssetPrice, float,>
,<@BarrierPrice, float,>
,<@Volatility, float,>
,<@Frequency, nvarchar(4000),>)
Arguments
@AssetPrice
the price of the underlying asset. @AssetPrice is an expression of type float or of a type that can be implicitly converted to float.
@BarrierPrice
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.
@Volatility
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.
@Frequency
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.
Return Type
float
Remarks
· @Volatility must be greater than zero (@Volatility > 0).
· @AssetPrice must be greater than zero (@AssetPrice > 0).
· @BarrierPrice must be greater than 0.
Example
SELECT wct.AdjustedBarrier(
100 --AssetPrice
,97 --BarrierPrice
,.20 --Volatility
,'D' --Frequency
) as AdjustedBarrier
This produces the following result.
AdjustedBarrier
----------------------
96.4102036452333