foptions examples

R Markdown

S

library(rmarkdown)
library(fOptions)

## Loading required package: timeDate

## Loading required package: timeSeries

## Loading required package: fBasics

Test foption charting

GBSCharacteristics(TypeFlag="c", S=1.7000, X=1.7000,
                   Time=270/365, r=0.06, b=0.06-0.03, sigma=0.10)

## $premium
## [1] 0.07651851
## 
## $delta
## [1] 0.6047324
## 
## $theta
## [1] -0.06310373
## 
## $vega
## [1] 0.5452298
## 
## $rho
## [1] 0.7038689
## 
## $lambda
## [1] 13.43525
## 
## $gamma
## [1] 2.550415

S <- seq(from=1.4000, to=2.0000, length=50)
Selection <- c("delta", "theta", "vega", "rho")
ymin <- c( 0.0, -0.6, 0.0, 0.0 )
ymax <- c( 1.0, 0.0, 0.6, 1.2 )
for (i in 1:4){
  plot(S, S, ylim=c(ymin[i], ymax[i]), type="n", xlab="S")
  for (Days in c(1, 30, 90, 270)) {
    c <- GBSGreeks(Selection[i], TypeFlag="c", S=S, X=1.7000,
                   Time=Days/365, r=0.06, b=0.06-0.03, sigma=0.1)
    lines (S, c) } }