OptPx: 'OptPx' object constructor

In QFRM: Pricing of Vanilla and Exotic Option Contracts

Description

An S3 object constructor for lattice-pricing specifications for an option contract. Opt object is inhereted.

Usage

OptPx(o = Opt(), r = 0.05, q = 0, rf = 0, vol = 0.3, NSteps = 3)

Arguments

o	An object of class Opt
r	A risk free rate (annualized)
q	A dividend yield (as annualized rate), Hull/p291
rf	A foreign risk free rate (annualized), Hull/p.292
vol	A volaility (as Sd.Dev, sigma)
NSteps	A number of time steps in BOPM calculation

Value

A list of class OptPx with parameters supplied to Opt and OptPx constructors

Author(s)

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

Examples

OptPx()  #Creates an S3 object for an option contract

#See J.C.Hull, OFOD'2014, 9-ed, Fig.13.10, p.289
OptPx(Opt(Right='Put'))

o = OptPx(Opt(Right='Call', S0=42, ttm=.5, K=40), r=.1, vol=.2)

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] ""

$r
[1] 0.05

$q
[1] 0

$rf
[1] 0

$vol
[1] 0.3

$NSteps
[1] 3

$u
[1] 1.277556

$d
[1] 0.7827445

$dt
[1] 0.6666667

$a
[1] 1.033895

$p
[1] 0.5075682

$SYld
[1] 0.05

$DF_ttm
[1] 0.9048374

$DF_dt
[1] 0.9672161

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

$r
[1] 0.05

$q
[1] 0

$rf
[1] 0

$vol
[1] 0.3

$NSteps
[1] 3

$u
[1] 1.277556

$d
[1] 0.7827445

$dt
[1] 0.6666667

$a
[1] 1.033895

$p
[1] 0.5075682

$SYld
[1] 0.05

$DF_ttm
[1] 0.9048374

$DF_dt
[1] 0.9672161

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

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