Description Usage Arguments Value Examples
Calculates the key analytics of a vertical spread
1 2 |
options |
Character string. Either "call", or "put" |
s |
Spot price of the underlying asset |
x1 |
Strike price of the short option |
x2 |
Strike price of the long option |
t |
Time to expiration in years |
r |
Annual continuously compounded risk-free rate |
sigma |
Implied volatility of the short option (annualized) |
sigma2 |
Implied volatility of the long option (annualized) |
vol |
Manual over-ride for the volatility of the underlying asset (annualized) |
d |
Annual continuously compounded dividend yield |
Returns a data.frame
1 |
V1
Spot 100.00
Short.Strike 90.00
Long.Strike 110.00
Max.Profit 10.13
Max.Loss -9.87
Breakeven 100.13
Prob.BE 0.50
Prob.Max.Profit 0.17
Prob.Max.Loss 0.17
Initial.DC 10.13
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