Patent ID: 7650302

Claim:
A numerical calculation device that calculates a value of any one of an option premium and an option risk indicator or both related to a barrier option, the numerical calculation device comprising: a computer that receives parameters input by a user; a memory that stores the parameters received by the computer; a magnitude relation judging unit that judges a magnitude relation between an interest rate r d of first currency and an interest rate r f of second currency by the computer, the interest rate r f and the interest rate r d being used for a calculation of any one of the option premium and a magnitude relation between the option risk indicator or both related to the barrier option, and that judges, only when the interest rate r f is greater than the interest rate r d , a magnitude relation between a value of a volatility v and a predetermined value, the value of the volatility being used for a calculation of any one of the option premium and the option risk indicator or both related to the barrier option and the predetermined value; and a calculation executing unit that executes a calculation of the value of any one of the option premium and the option risk indicator or both related to the barrier option by referring to the parameters stored in the memory only when the value r f is not greater than the value r d or the value of a volatility is greater than or the same as the predetermined value by the computer, wherein the calculation executing unit selects, an approximation formula (1-1) or (1-2) N ⁢ ⁢ ( d ) = 1 2 ⁢ π ⁢ ∫ - ∞ d ⁢ ⅇ - x 2 2 ⁢ ⅆ x ≅ { - 1 2 ⁢ π ⁢ d ⁢ ⅇ - d 2 2 , ⁢ when ⁢ ⁢ d < - a ⁢ ⁢ ( 1 ⁢ - ⁢ 1 ) 1 - 1 2 ⁢ π ⁢ d ⁢ ⅇ - d 2 2 , ⁢ when ⁢ ⁢ d > a ⁢ ⁢ ( 1 ⁢ - ⁢ 2 ) based on whether d<−√{square root over (a)} or d>√{square root over (a)}, where a is an arbitrarily predetermined positive number that determines accuracy of approximation of the equation, x is a variable of integration, and d is a variable of the function N, and the approximation formula being obtained by approximating the equation for the cumulative density function, the calculation executing unit selects the approximation formula (1-1) or (1-2) as part of a process of calculating a value of a product of a power function ( s c ) 2 ⁢ ⁢ ( r f - r d ) ⁢ ⁢ T 1 ⁢ ⁢ v v 2 ⁢ T 1 - 1 and an equation for a cumulative density function of a standard normal distribution where c is a barrier, s is a spot rate greater than c, T 1 is a period from an agreement date to an exercise date, and T 1v is a period from a spot date of the agreement date to a spot date of the exercise date, and the calculation executing unit calculates the value of the product based on the approximation formula selected.