OptPos: 'OptPos' object constructor

In QFRM: Pricing of Vanilla and Exotic Option Contracts

Description

S3 object constructor for lattice-pricing specs of an option contract. Inherits Opt object.

Usage

OptPos(o = Opt(), Pos = c("Long", "Short"), Prem = 0)

Arguments

o	An object of class Opts
Pos	A position direction (to the holder) with values Long for owned option contract and Short for shorted contract.
Prem	A option premim (i.e. market cost or price), a non-negative amount to be paid for the option contract being modeled.

Value

A list of class OptPx

Author(s)

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

Examples

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

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