prob.above: Probability Above

In optionstrat: Utilizes the Black-Scholes Option Pricing Model to Perform Strategic Option Analysis and Plot Option Strategies

Description

Calculates the probability of the underlying asset value remaining above a price level in a designated time frame, given the daily standard devaiation of the underlying returns.

Usage

prob.above(spot, lower, mean = 0, asd = 0, dsd = 0, dte = 0, p,
  quantile = FALSE, tradedays = 262)

Arguments

spot	Current price of the underlying asset
lower	Lower price of the range
mean	The average daily price movement, default = 0
asd	Annualized standard deviation of the underlying returns
dsd	Daily standard deviation of the underlying returns (Annual vol/sqrt(256)), used as an alternative to the asd parameter in conjuction with the dte parameter
dte	Days until expiration, designated time frame
p	Designated probability
quantile	Logical. If True, calculates the price the asset will remain above, given the designated probability
tradedays	Number of trade days in a year, default = 262

Details

This function has two separate possible operations: 1. Calculates the probability of the underlying asset value remaining above a price level in a designated time frame, given the daily standard devaiation of the underlying returns. 2. Calculates the price the asset will remain above, given the designated probability

Value

Returns a probability (if quantile = FALSE), Returns a data.frame (if quantile = TRUE)

Examples

prob.above(spot = 100, lower = 110, mean = 0, dsd = 0.01, dte = 45)
prob.above(spot = 100, mean = 0, dsd = 0.01, dte = 45, p = 0.75, quantile = TRUE)

Example output

[1] 0.06801856
  probability percent.change    price
1        0.75    -0.04524615 95.47539

optionstrat documentation built on Dec. 4, 2019, 1:08 a.m.