The BarrierDouble function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European double barrier option using Ikeda and Kunitomo’s model. This function evaluates knockout and knockin double barrier options for both calls and puts. See Barrier Options for a further explanation.
BarrierDouble 
(OptionType, BarrierType, ModelStatistic, Asset, Strike, LowerBarrier, UpperBarrier, TimeExpire, Volatility, InterestRate, YieldRate, LowCurve, UpCurve, MarketPrice, Monitoring, TimeFormat, InterestType, YieldType) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
OptionType 
Alphanumeric value indicating the type of option: •Call = 1 or "c" (case insensitive) •Put = 2 or "p" (case insensitive) 
BarrierType 
Alphanumeric value indicating the barrier type: •Knock_In = 1 or "ki" (case insensitive) •Knock_Out = 2 or "ko" (case insensitive) 
ModelStatistic 
Numeric value indicating the type of function required for the return value: •Theoretical = 1 •Delta = 2 •Gamma = 3 •Theta = 4 •ImpliedVol = 5 •Vega = 6 •Rho = 7 •Psi = 8 •Lambda = 9 •StrikeSensitivity = 11 •ImpliedStrike = 13 
Asset 
The price of the underlying asset. Must be > 0. 
Strike 
The price at which the asset can be purchased if the option is a call or sold if the option is a put. Must be > 0. 
LowerBarrier 
The lower barrier price level. 
UpperBarrier 
The upper barrier price level. 
TimeExpire 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be > 0. 
Volatility 
Annualized volatility of the underlying security. Must be > 0. 
InterestRate 
Riskfree interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument. Must be > 0. 
YieldRate 
Yield, expressed as a percentage (dividends or interest yield), of the underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldType argument. 
LowCurve 
Optional. The growth or curvature of the lower barrier. If omitted, a 0 (zero) is used. 
UpCurve 
Optional. The growth or curvature of the upper barrier. If omitted, a 0 (zero) is used. 
MarketPrice 
Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0. 
Monitoring 
Optional. Alphanumeric value indicating the frequency of the barrier monitoring. If omitted, a ContinuousSample is used. 
TimeFormat 
Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either: •Days = 0 or "D" (case insensitive) •Years = 1 or "Y" (case insensitive) 
InterestType 
Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
YieldType 
Optional. Alphanumeric value indicating the type of YieldRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
Example
Calculate all of functions for a knockout call option whose asset price 117 days from expiration is $100, the exercise price of the option is $90, the lower barrier is $80, the upper barrier is $120, the riskfree interest rate is 6% per annum, the yield rate is 5% per annum, and the annual volatility is 25%. The barrier monitoring and all of the rates are continuous. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
OptionType 
Call 

1 
Theoretical: 
6.273983 
BarrierType 
2 (KnockOut) 

2 
Delta: 
0.089901 
Asset 
100 

3 
Gamma: 
0.042287 
Strike 
90 

4 
Theta: 
0.036990 
LowerBarrier 
80 

5 
Implied Vol.: 
0.258107 
UpperBarrier 
120 

6 
Vega: 
0.341438 
InterestRate 
6% 

7 
Rho: 
0.040682 
YieldRate 
5% 

8 
Psi: 
0.060794 
TimeExpire 
117 

9 
Lambda: 
1.432919 
Volatility 
25% 

11 
Strike Sensitivity: 
0.552753 
TimeFormat 
Days 

13 
Implied Strike: 
90.500763 
MarketPrice 
6 




For a further example on this model see the included Excel Template located in the root directory of the addin. This example can be accessed through the Barrier Template menu item after the addin has been installed properly.
A list of all of the possible Error Messages is included for convenience.