Barrier Option Related Functions

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Construction Functions

Excel: =McpVanillaBarriers(args1, args2, args3, args4, args5, fmt='VP')

Python: McpVanillaBarriers(*args)

• Function: Constructs a barrier option object.
• Parameters:
  • args1~args5 or *args: Parameter groups:
    1. First Parameter Set:
       • OptionType: Option type (enumeration value, e.g., Call or Put).
       • BarrierType: Barrier type (enumeration value, e.g., UpAndOut or DownAndIn).
       • ReferenceDate: Trade date or valuation date.
       • SpotPx: Spot price.
       • BuySell: Buy/sell direction (enumeration value, e.g., Buy or Sell).
       • ExpiryDate: Expiry date.
       • DeliveryDate: Delivery Date.
       • StrikePx: Strike price.
       • Barrier: Barrier price.
       • DomesticRate: Interest rate for currency 2.
       • ForeignRate: Interest rate for currency 1.
       • Volatility: Volatility.
       • FaceValue: Notional amount (default is 1).
       • Rebate: Rebate value (default is 0.0).
       • PricingMethod: Pricing method (default is BLACKSCHOLES).
       • OptionExpiryNature：Exercise type, default value EUROPEAN.
       • RR25：25RR market data.
       • BF25：25BF market data.
       • DiscreteFactor：Discrete Factor。
       • DiscreteAdjusted：Discrete Adjustment Value。
       • Calendar: Holiday calendar object.
       • DayCounter: Day count convention (default is Act365Fixed).
       • PremiumDate: Premium payment date.
  • fmt: Parameter format (default is 'VP'),Excel-specific parameters.
• Returns: Barrier option object.

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Usage Functions

Excel: =McpPrice(Obj, isAmount)

Python: Price(*args)

• Function: Calculates the option premium.
• Parameters:
  • Obj: Barrier option object.
  • isAmount: Whether to return the amount (default is True, returns the premium in currency 2; False returns the premium in currency 1).
  • *args：is a dictionary, does not require the Obj parameter, other parameters are the same as those in Excel.
• Returns: Option premium.

Excel: =McpDelta(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Delta(isCCY2=False, isAmount=True, npricingMethod=1)

• Function: Calculates the Delta value of the option.
• Parameters:
  • obj: Barrier option object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True). If True, Greeks are calculated using the Black-Scholes model regardless of the selected pricing model; otherwise, the selected model is used.
• Returns: Delta.

Excel: =McpForwardDelta(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: ForwardDelta(isCCY2=False, isAmount=True, npricingMethod=1)

• Function: Calculates the Forward Delta value of the option.
• Parameters:
  • obj: Barrier option object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
• Returns: Forward Delta.

Excel: =McpVega(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Vega(isCCY2=False, isAmount=True, npricingMethod=1)

• Function: Calculates the Vega value of the option.
• Parameters:
  • obj: Barrier option object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
• Returns: Vega.

Excel: =McpGamma(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Gamma(self, isCCY2=False, isAmount=True, npricingMethod=1)

• Function: Calculates the Gamma value of the option.
• Parameters:
  • obj: Barrier option object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
• Returns: Gamma.

Excel: =McpTheta(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Theta(isCCY2=False, isAmount=True, npricingMethod=1)

• Function: Calculates the Theta value of the option.
• Parameters:
  • obj: Barrier option object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
• Returns: Theta.

Excel: =McpVanna(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Vanna(isCCY2=False, isAmount=True, npricingMethod=1)

• Function: Calculates the Vanna value of the option.
• Parameters:
  • obj: Barrier option object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
• Returns: Vanna.

Excel: =McpVolga(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Volga(isCCY2=False, isAmount=True, npricingMethod=1)

• Function: Calculates the Volga value of the option.
• Parameters:
  • obj: Barrier option object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
• Returns: Volga.

Excel: =McpRho(obj, isCcy2=False, isAmount=True, pricingMethod=1, isClosedFormMethod=True)

Python: Rho(isCCY2=False, isAmount=True, npricingMethod=1)

• Function: Calculates the Rho value of the option.
• Parameters:
  • obj: Barrier option object.
  • isCcy2: Whether it is for currency 2 (True for currency 2, False otherwise).
  • isAmount: Whether to calculate the amount (default is True).
  • pricingMethod: Pricing method (default is 1).
  • isClosedFormMethod: Whether to use the closed-form method for Greeks calculation (default is True).
• Returns: Rho.

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