swaptiontreegui: Plot a Swaption Tree
In GUIDE: GUI for DErivatives in R

Description Usage Details Value Author(s) References See Also

Function to plot a Swaption Tree

1	swaptiontreegui()

The user inputs are as follows:
Face Value: to be entered in numbers for e.g. 120.50
Strike price: to be entered in numbers for e.g. 110.50
Rate per annum: to be entered in percent. For e.g. enter 5.0 for 5 percent
u: up move factor- to be entered in decimals. For e.g. 1.25
d: down move factor- to be entered in decimals. For e.g. 0.80
q: probability of up move- to be entered in decimals. For e.g. 0.60
Swap Maturity: Clicking on the '+' and '-' respectively increases and decreases the value.
Option Maturity: must be lesser than Swap Maturity. Clicking on the '+' and '-' respectively increases and decreases the value.
Plot type: chosen between Swaption tree / Swap tree

A plot of Swaption Tree with user specified parameters.

S Subramanian <ssubramanian@sssihl.edu.in>

David G. Luenberger, "Investment Science", 2/E, Oxford University Press, 2013.

bondoptiontreegui,swaptreegui

GUIDE documentation built on May 2, 2019, 9:32 a.m.