Nothing
strangle.bls = function(S,K1,K2,r,t,sd,plot=FALSE){
all=list(S,K1,K2,r,t,sd,plot)
#NULL
if(any(lapply(all,is.null)==T)) stop("Cannot input any variables as NULL.")
#Length
if(any(lapply(all,length) != 1)==T) stop("All inputs must be of length 1.")
#Numeric
num2=list(S,K1,K2,r,t,sd)
na.num2=num2[which(lapply(num2,is.na)==F)]
if(any(lapply(na.num2,is.numeric)==F)) stop("S, K1, K2, r, t, and sd must be numeric.")
#NA
nalist=list(S,K1,K2,r,t,sd,plot)
if(any(lapply(nalist,is.na)==T)) stop("Cannot input any variables as NA.")
#Logical
stopifnot(is.logical(plot))
NA.Neg=array(c(S,K1,K2,r,t,sd))
NA.Neg.Str=c("S","K1","K2","r","t","sd")
app=apply(NA.Neg,1,is.na)
#Positive
na.s=which(app==F & NA.Neg<=0)
if(length(na.s)>0) {errs=paste(NA.Neg.Str[na.s],collapse=" & ")
stop(cat("Error: '",errs, "' must be positive real number(s).\n"))}
#Infinite
na.s2=which(app==F & NA.Neg==Inf)
if(length(na.s2)>0) {errs=paste(NA.Neg.Str[na.s2],collapse=" & ")
stop(cat("Error: '",errs, "' cannot be infinite.\n"))}
if(K1>=K2) stop("K1 must be less than K2.")
if(K2<=S | K1>=S) stop("K2 must be > S and K1 must be < S")
d1 = (log(S/K1)+(r+sd^2/2)*t)/(sd*sqrt(t))
d2 = d1 - sd * sqrt(t)
putP = K1*exp(-r*t) * pnorm(-d2) - S*pnorm(-d1)
d1 = (log(S/K2)+(r+sd^2/2)*t)/(sd*sqrt(t))
d2 = d1 - sd * sqrt(t)
callP = S*pnorm(d1) - K2*exp(-r*t)*pnorm(d2)
stock=unique(round(seq(0,K1,length.out=6)))
stock=c(stock,round(seq(K1,K2,length.out=4)))
stock=c(stock,round(seq(K2,K2+K1,length.out=6)))
stock=unique(stock)
stock2=unique(round(c(seq(0,K1,length.out=6),seq(K2,K2+K1,length.out=6))))
payoff=rep(0,length(stock))
profit=rep(0,length(stock))
for(i in 1:length(stock)){
if(stock[i]<=K1) payoff[i]=K1-stock[i]
if(stock[i]>=K2) payoff[i]=stock[i]-K2
if(stock[i]<K2 & stock[i]>K1) payoff[i]=0
profit[i]=payoff[i]+(-callP-putP)*exp(r*t)
}
if(plot==T){
plot(stock,profit,type="l",xlab="Stock Price",main="Strangle\nPayoff and Profit",ylab="$",
ylim=c(min(profit,payoff),max(profit,payoff)),xaxt='n',yaxt='n',col="steelblue",lwd=2)
lines(stock,payoff,lty=2,lwd=2,col="firebrick")
abline(h=0,lty=2,col="gray")
y=round(seq(min(payoff,profit),max(payoff,profit),length.out=8))
axis(2,at=y,labels=y,las=2)
axis(1,at=if(K2-K1<7) stock2[-which(stock2==round(K2))] else stock2,las=2)
legend("top",c("Profit","Payoff"),lty=c(1,2),col=c("steelblue","firebrick"),lwd=c(2,2)) }
out1=data.frame(stock,payoff,profit)
names(out1)=c("Stock Price","Payoff","Profit")
out2=matrix(c(putP,callP,callP+putP),nrow=3)
rownames(out2)=c("Put (K1)","Call (K2)","Net Cost")
colnames(out2)=c("Premiums")
out=list(Payoff=out1,Premiums=out2)
return(out)
}
Any scripts or data that you put into this service are public.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.