eqRangeAccrualOptionPricer

eqRangeAccrualOptionPricer(instrument, pricingDate, spot, discountCurve, dividendCurve, volSurf, [setting], [model], [method])

Prices an equity range accrual option with the Black-Scholes model and the analytic method. An equity range accrual option is a path-dependent structured derivative whose payoff depends on the proportion of fixing dates on which the underlying price stays within a specified range.

Currently, model only supports "BlackScholes" and method only supports "Analytic".

All input vectors must have the same length. Scalar inputs are automatically expanded to match the length of other vectors.

instrument: An INSTRUMENT scalar or vector specifying the equity range accrual option to be priced. For field requirements, see Instrument Field Description.

pricingDate: A DATE scalar or vector specifying the pricing date.

spot: A numeric scalar or vector specifying the spot price of the underlying asset.

discountCurve: A MKTDATA scalar or vector specifying the discount curve (IrYieldCurve). It can be constructed with parseMktData.

dividendCurve: A MKTDATA scalar or vector specifying the dividend curve (DividendCurve). It can be constructed with eqDividendCurveBuilder.

volSurf: A MKTDATA scalar or vector specifying the equity option volatility surface (EqVolatilitySurface). It can be constructed with eqVolatilitySurfaceBuilder.

setting (optional): A dictionary specifying whether to calculate Greeks. It supports the following keys. The value of each key is BOOL, and the default value is false:

model (optional): A STRING scalar specifying the pricing model. Currently, only "BlackScholes" is supported. The default value is "BlackScholes".

method (optional): A STRING scalar specifying the pricing method. Currently, only "Analytic" is supported. The default value is "Analytic".

• If setting is not specified, returns a DOUBLE scalar or vector indicating the net present value (NPV) of the option.
• If setting is specified, returns a dictionary or vector of dictionaries containing npv and the Greeks requested by setting. Possible keys include npv, delta, gamma, vega, theta, rhoIr, and rhoDividend.

The following example builds a discount curve, a dividend curve, and an equity option volatility surface, and then prices an equity range accrual option.

// =====================================================
// 1. Set the pricing date, reference date, and underlying spot price
// =====================================================
pricingDate = 2026.02.13
referenceDate = pricingDate
spot = 3.1140
// =====================================================
// 2. Input the option market data
// =====================================================
termDates = [2026.02.25, 2026.03.25, 2026.06.24, 2026.09.23]
callPrices = matrix(
    [0.2655, 0.2155, 0.1656, 0.1156, 0.0318, 0.0039, 0.0015, 0.0008, 0.0003, 0.0001],
    [0.2690, 0.2248, 0.1770, 0.1385, 0.0697, 0.0303, 0.0128, 0.0069, 0.0046, 0.0036],
    [0.3030, 0.2655, 0.2278, 0.1970, 0.1431, 0.0991, 0.0677, 0.0479, 0.0346, 0.0254],
    [0.3330, 0.2987, 0.2681, 0.2388, 0.1883, 0.1448, 0.1139, 0.0899, 0.0715, 0.0574]
)
putPrices = matrix(
    [0.0004, 0.0009, 0.0021, 0.0045, 0.0218, 0.0939, 0.1901, 0.2896, 0.3908, 0.4916],
    [0.0125, 0.0165, 0.0229, 0.0316, 0.0616, 0.1250, 0.2029, 0.2967, 0.3962, 0.4948],
    [0.0396, 0.0507, 0.0634, 0.0798, 0.1253, 0.1814, 0.2499, 0.3321, 0.4175, 0.5077],
    [0.0651, 0.0798, 0.0973, 0.1180, 0.1662, 0.2250, 0.2952, 0.3651, 0.4508, 0.5342]
)
strikes = matrix(
    [2.8500, 2.9000, 2.9500, 3.0000, 3.1000, 3.2000, 3.3000, 3.4000, 3.5000, 3.6000],
    [2.8500, 2.9000, 2.9500, 3.0000, 3.1000, 3.2000, 3.3000, 3.4000, 3.5000, 3.6000],
    [2.8500, 2.9000, 2.9500, 3.0000, 3.1000, 3.2000, 3.3000, 3.4000, 3.5000, 3.6000],
    [2.8500, 2.9000, 2.9500, 3.0000, 3.1000, 3.2000, 3.3000, 3.4000, 3.5000, 3.6000]
)
// =====================================================
// 3. Construct the CNY discount zero-coupon yield curve
// =====================================================
discountCurveDict = {
    "mktDataType": "Curve", "curveType": "IrYieldCurve", "curveName": "CNY_FR_007",
    "referenceDate": referenceDate, "currency": "CNY", "dayCountConvention": "Actual365",
    "compounding": "Continuous", "interpMethod": "Linear", "extrapMethod": "Flat",
    "dates": [referenceDate + 1, referenceDate + 7, referenceDate + 14, referenceDate + 21,
              referenceDate + 30, referenceDate + 61, referenceDate + 91, referenceDate + 182,
              referenceDate + 273, referenceDate + 365, referenceDate + 547, referenceDate + 730,
              referenceDate + 1095],
    "values": [0.016134, 0.016107, 0.016102, 0.016102, 0.016102, 0.016103, 0.016029,
               0.015832, 0.015889, 0.015898, 0.015561, 0.015583, 0.015892]
}
discountCurve = parseMktData(discountCurveDict)
// =====================================================
// 4. Construct the dividend curve using call-put parity
// =====================================================
dividendCurve = eqDividendCurveBuilder(
    referenceDate, termDates, "CallPutParity", ,
    callPrices, putPrices, strikes, spot, discountCurve, "Actual365", "510050"
)
// =====================================================
// 5. Prepare the option prices used to build the volatility surface
// =====================================================
optionPrices = matrix(
    [0.0004, 0.0009, 0.0021, 0.0045, 0.0218, 0.0039, 0.0015, 0.0008, 0.0003, 0.0001],
    [0.0125, 0.0165, 0.0229, 0.0316, 0.0616, 0.0303, 0.0128, 0.0069, 0.0046, 0.0036],
    [0.0396, 0.0507, 0.0634, 0.0798, 0.1253, 0.0991, 0.0677, 0.0479, 0.0346, 0.0254],
    [0.0651, 0.0798, 0.0973, 0.1180, 0.1662, 0.1448, 0.1139, 0.0899, 0.0715, 0.0574]
)
payoffTypes = matrix(
    ["Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call", "Call"],
    ["Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call", "Call"],
    ["Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call", "Call"],
    ["Put", "Put", "Put", "Put", "Put", "Call", "Call", "Call", "Call", "Call"]
)
// =====================================================
// 6. Construct the equity option SABR volatility surface
// =====================================================
volSurface = eqVolatilitySurfaceBuilder(
    referenceDate, termDates, strikes, optionPrices, payoffTypes, spot,
    discountCurve, dividendCurve, "SABR", "50ETF_SABR_20260213"
)
// =====================================================
// 7. Construct the equity range accrual option product
// =====================================================
option = {
    "productType": "Option",
    "optionType": "RangeAccrualOption",
    "assetType": "EqRangeAccrualOption",
    "instrumentId": "0001",
    "notionalAmount": 1000000.0,
    "notionalCurrency": "CNY",
    "maturity": 2026.06.01,
    "delivery": 2026.06.01,
    "underlying": "50ETF",
    "direction": "Buy",
    "dayCountConvention": "Actual365",
    "lowerBarrier": 2.95,
    "upperBarrier": 3.25,
    "coupon": 0.1,
    "fixingDates": [2026.04.01, 2026.05.01],
    "discountCurve": "CNY_FR_007",
    "dividendCurve": "510050"
}
instrument = parseInstrument(option)
// =====================================================
// 8. Set the pricing output fields
// =====================================================
setting = {
    "calcDelta": true,
    "calcGamma": true,
    "calcVega": true,
    "calcTheta": true,
    "calcRhoIr": true,
    "calcRhoDividend": true
}
// =====================================================
// 9. Call the equity range accrual option pricer
// =====================================================
result = eqRangeAccrualOptionPricer(
    instrument,
    pricingDate,
    spot,
    discountCurve,
    dividendCurve,
    volSurface,
    setting
)
// =====================================================
// 10. Output the pricing result
// =====================================================
print(result)

Related functions: parseInstrument, parseMktData, eqDividendCurveBuilder, eqVolatilitySurfaceBuilder