Option: Base class for option price evalution

Description Usage Arguments Details Value Note Author(s) References See Also Examples

Description

This class forms the basis from which the more specific classes are derived.

Usage

1
2
3
4
5
6
## S3 method for class 'Option'
print(x, digits=4, ...)
## S3 method for class 'Option'
plot(x, ...)
## S3 method for class 'Option'
summary(object, digits=4, ...)

Arguments

x

Any option object derived from this base class

object

Any option object derived from this base class

digits

Number of digits of precision shown

...

Further arguments

Details

Please see any decent Finance textbook for background reading, and the QuantLib documentation for details on the QuantLib implementation.

Value

None, but side effects of displaying content.

Note

The interface might change in future release as QuantLib stabilises its own API.

Author(s)

Dirk Eddelbuettel edd@debian.org for the R interface; the QuantLib Group for QuantLib

References

https://www.quantlib.org/ for details on QuantLib.

See Also

AmericanOption,EuropeanOption, BinaryOption

Examples

1
2
3
EO<-EuropeanOption("call", strike=100, volatility=0.4, 100, 0.01, 0.03, 0.5)
print(EO)
summary(EO)

Example output

sh: 1: cannot create /dev/null: Permission denied
Concise summary of valuation for EuropeanOption 
   value    delta    gamma     vega    theta      rho   divRho 
 11.6365   0.5673   0.0138  27.6336 -11.8390  22.5475 -28.3657 
Detailed summary of valuation for EuropeanOption 
   value    delta    gamma     vega    theta      rho   divRho 
 11.6365   0.5673   0.0138  27.6336 -11.8390  22.5475 -28.3657 
with parameters
NULL

RQuantLib documentation built on Oct. 6, 2021, 5:06 p.m.