SOLVEDoubleBarrier

High level graphic of SOLVEDoubleBarrier() function with parameters. Blue square node is the actual function with the parameters ordered.

1. ValueDate parameter
   
   
   This parameter cannot be solved for. Valuation Date (typically equal to Today's date)
2. dayCounter parameter
   
   
   This parameter cannot be solved for. For any input parameter within this function that represents a dividend rate, risk free rate, foreign rate or holding cost rate, these rates will be defined as annually compounded using the DayCounter defined within this parameter. Thus if 'actual365' is used for this 'dayCounter' parameter, then all input parameters that represent a dividend, risk free, foreign or holding cost rates will be defined as annually compounded Actual365 rates.
3. PremiumVal parameter
   
   
   This parameter cannot be solved for. Premium Value that will be tested against.
4. SolverKey parameter
   
   
   This parameter cannot be solved for. Key to an already created Solver object (Within the 'CapeTools One-Dimensional Solvers' category of functions).
5. tolerance parameter
   
   
   This parameter cannot be solved for. tolerance (ie - 0.0001).
6. DblBarrier parameter
   
   
   This parameter cannot be solved for. Option Types CO, PO, CI, PI
7. Underlying parameter
   
   
   Underlying price
8. X parameter
   
   
   Strike price of the option
9. L parameter
   
   
   Continuous Lower barrier level
10. U parameter
    
    
    Continuous Upper barrier level
11. AdjBarrFreqL parameter
    
    
    This parameter cannot be solved for. Monitoring frequency that you wish the continuous lower barrier level value entered to have. (Basically will convert the barrier from continuous to discrete. If you choose 'Continuously', the barrier will still be a Continuous barrier). Valid values are : Continuously, Hourly, Daily, Weekly or Monthly.
12. AdjBarrFreqU parameter
    
    
    This parameter cannot be solved for. Monitoring frequency that you wish the continuous upper barrier level value entered to have. (Basically will convert the barrier from continuous to discrete. If you choose 'Continuously', the barrier will still be a Continuous barrier). Valid values are : Continuously, Hourly, Daily, Weekly or Monthly.
13. Time parameter
    
    
    This parameter cannot be solved for. Time to option maturity.
14. Rate parameter
    
    
    For the underlying (equity, futures, FX or commodity), this should be an annualised rate (risk free rate or foreign rate). If this is an option on a FX underlying, then if the underlying is quoted as domestic/foreign then this rate will be the domestic rate. If, however, the FX underlying is quoted as foreign/domestic then this will be the foreign rate.
15. B parameter
    
    
    For the underlying (equity, futures, FX or commodity), this should be an annualised rate (dividend rate, risk free rate, foreign rate or holding cost rate respectively). If this is an option on a FX underlying, then if the underlying is quoted as domestic/foreign then this rate will be the foreign rate. If, however, the FX underlying is quoted as foreign/domestic then this will be the domestic rate.
16. Vol parameter
    
    
    Volatility of the underlying.
17. Delta1 parameter
    
    
    Controls the curvature of the Lower L and upper U barriers.
18. Delta2 parameter
    
    
    Controls the curvature of the Lower L and upper U barriers.
19. SolveFor parameter
    
    
    The parameter in which you would like to solve for.

Double CTOptionSolver.SOLVEDoubleBarrier( _
Long ValueDate, _
DayCountEnum dayCounter, _
Double PremiumVal, _
String SolverKey, _
Double tolerance, _
String DblBarrier, _
Double Underlying, _
Double X, _
Double L, _
Double U, _
String AdjBarrFreqL, _
String AdjBarrFreqU, _
Long Time, _
Double Rate, _
Double B, _
Double Vol, _
Double Delta1, _
Double Delta2, _
String SolveFor)

=CT.SOLVEDoubleBarrier(
Excel Numeric Cell ValueDate,
Excel String Cell dayCounter,
Excel Numeric Cell PremiumVal,
Excel String Cell SolverKey,
Excel Numeric Cell tolerance,
Excel String Cell DblBarrier,
Excel Numeric Cell Underlying,
Excel Numeric Cell X,
Excel Numeric Cell L,
Excel Numeric Cell U,
Excel String Cell AdjBarrFreqL,
Excel String Cell AdjBarrFreqU,
Excel Numeric Cell Time,
Excel Numeric Cell Rate,
Excel Numeric Cell B,
Excel Numeric Cell Vol,
Excel Numeric Cell Delta1,
Excel Numeric Cell Delta2,
Excel String Cell SolveFor)

static double SOLVEDoubleBarrier(
long ValueDate,
DayCountEnum dayCounter,
double PremiumVal,
std::string SolverKey,
double tolerance,
std::string DblBarrier,
double Underlying,
double X,
double L,
double U,
std::string AdjBarrFreqL,
std::string AdjBarrFreqU,
long Time,
double Rate,
double B,
double Vol,
double Delta1,
double Delta2,
std::string SolveFor);

System.Double CTOptionSolverSA.SOLVEDoubleBarrier(
System.Int32 ValueDate,
CTIEnums.DayCountEnum dayCounter,
System.Double PremiumVal,
System.String SolverKey,
System.Double tolerance,
System.String DblBarrier,
System.Double Underlying,
System.Double X,
System.Double L,
System.Double U,
System.String AdjBarrFreqL,
System.String AdjBarrFreqU,
System.Int32 Time,
System.Double Rate,
System.Double B,
System.Double Vol,
System.Double Delta1,
System.Double Delta2,
System.String SolveFor);

• Brent() ( CT.QL.Models20 )
• SOLVEDoubleBarrier() ( CT.QL.Pricing20 )

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