prob.btwn: Probability Between

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 falling between two prices in a designated time frame, given the daily standard devaiation of the underlying returns.

Usage

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

Arguments

spot	Current price of the underlying asset
lower	Lower price of the range
upper	Upper price of the range
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
mean	The average daily price movement, default = 0
p	Designated probability
quantile	Logical. If True, calculates the probable price range
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 falling between two prices in a designated time frame, given the daily standard devaiation of the underlying returns. 2. Calculates the probable price range, given a set probability

Value

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

Examples

prob.btwn(spot = 100, lower = 90, upper = 110, mean = 0, dsd = 0.01, dte = 45)
prob.btwn(spot = 100, mean = 0, dsd = 0.01, dte = 45, p = 0.75, quantile = TRUE)

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