Opt: 'Opt' object constructor

In QFRM: Pricing of Vanilla and Exotic Option Contracts

Description

An S3 object constructor for an option contract (financial derivative)

Usage

Opt(Style = c("European", "American", "Asian", "Binary", "AverageStrike",
  "Barrier", "Chooser", "Compound", "DeferredPayment", "ForeignEquity",
  "ForwardStart", "Gap", "HolderExtendible", "Ladder", "Lookback", "MOPM",
  "Perpetual", "Quotient", "Rainbow", "Shout", "SimpleChooser", "VarianceSwap"),
  Right = c("Call", "Put", "Other"), S0 = 50, ttm = 2, K = 52,
  Curr = "$", ContrSize = 100, SName = "A stock share", SSymbol = "")

Arguments

Style	An option style: European or American. Partial names are allowed, eg. E or A
Right	An option right: Call or Put. Partial names are allowed.
S0	A spot price of the underlying security (usually, today's stock price, S_0)
ttm	A time to maturity, in units of time matching r units; usually years
K	A strike price
Curr	An optional currency units for monetary values of the underlying security and an option
ContrSize	A contract size, i.e. number of option shares per contract
SName	A (optional) descriptful name of the underlying. Eg. Microsoft Corp
SSymbol	An (optional) official ticker of the underlying. Eg. MSFT

Value

A list of class Opt

Author(s)

Oleg Melnikov, Department of Statistics, Rice University, Spring 2015

Examples

Opt()  #Creates an S3 object for an option contract
Opt(Right='Put')   #See J. C. Hull, OFOD'2014, 9-ed, Fig.13.10, p.289

Example output

$S0
[1] 50

$ttm
[1] 2

$K
[1] 52

$Style
$Style$Name
[1] "European"

$Style$Vanilla
[1] TRUE

$Style$Exotic
[1] FALSE

$Style$European
[1] TRUE

$Style$American
[1] FALSE

$Style$Asian
[1] FALSE

$Style$Binary
[1] FALSE

$Style$AverageStrike
[1] FALSE

$Style$Barrier
[1] FALSE

$Style$Chooser
[1] FALSE

$Style$Compound
[1] FALSE

$Style$DeferredPayment
[1] FALSE

$Style$ForeignEquity
[1] FALSE

$Style$ForwardStart
[1] FALSE

$Style$Gap
[1] FALSE

$Style$HolderExtendible
[1] FALSE

$Style$Ladder
[1] FALSE

$Style$Lookback
[1] FALSE

$Style$MOPM
[1] FALSE

$Style$Perpetual
[1] FALSE

$Style$Quotient
[1] FALSE

$Style$Rainbow
[1] FALSE

$Style$Shout
[1] FALSE

$Style$SimpleChooser
[1] FALSE

$Style$VarianceSwap
[1] FALSE


$Right
$Right$Name
[1] "Call"

$Right$Call
[1] TRUE

$Right$Put
[1] FALSE

$Right$Other
[1] FALSE

$Right$SignCP
[1] 1


$Curr
[1] "$"

$ContrSize
[1] 100

$SName
[1] "A stock share"

$SSymbol
[1] ""

attr(,"class")
[1] "Opt"
$S0
[1] 50

$ttm
[1] 2

$K
[1] 52

$Style
$Style$Name
[1] "European"

$Style$Vanilla
[1] TRUE

$Style$Exotic
[1] FALSE

$Style$European
[1] TRUE

$Style$American
[1] FALSE

$Style$Asian
[1] FALSE

$Style$Binary
[1] FALSE

$Style$AverageStrike
[1] FALSE

$Style$Barrier
[1] FALSE

$Style$Chooser
[1] FALSE

$Style$Compound
[1] FALSE

$Style$DeferredPayment
[1] FALSE

$Style$ForeignEquity
[1] FALSE

$Style$ForwardStart
[1] FALSE

$Style$Gap
[1] FALSE

$Style$HolderExtendible
[1] FALSE

$Style$Ladder
[1] FALSE

$Style$Lookback
[1] FALSE

$Style$MOPM
[1] FALSE

$Style$Perpetual
[1] FALSE

$Style$Quotient
[1] FALSE

$Style$Rainbow
[1] FALSE

$Style$Shout
[1] FALSE

$Style$SimpleChooser
[1] FALSE

$Style$VarianceSwap
[1] FALSE


$Right
$Right$Name
[1] "Put"

$Right$Call
[1] FALSE

$Right$Put
[1] TRUE

$Right$Other
[1] FALSE

$Right$SignCP
[1] -1


$Curr
[1] "$"

$ContrSize
[1] 100

$SName
[1] "A stock share"

$SSymbol
[1] ""

attr(,"class")
[1] "Opt"

QFRM documentation built on May 2, 2019, 8:26 a.m.