visual: Visual Auxiliary Function

In visualR: 3D Visualization of Option Greeks and Volatility Skew

Description

Calculates the net parameter value for a double vertical option spread

Usage

visual(type, parameter, s, si, x1, x2, x3, x4, v1, v2 = v1, v3 = v1,
  v4 = v1, ti, t1, t2 = t1, t3 = t1, t4 = t1, r = 0.02, d = 0,
  ls = 1)

Arguments

type	Character String: "call" or "put"
parameter	Character String: "premium", "delta", "gamma", "vega", "theta", "rho"
s	Spot Price
si	Initial Spot Price
x1	Option 1 Strike
x2	Option 2 Strike
x3	Option 3 Strike
x4	Option 4 Strike
v1	Option 1 Volatility
v2	Option 2 Volatility
v3	Option 3 Volatility
v4	Option 4 Volatility
ti	Initial Years to Maturity
t1	Option 1 years to maturity
t2	Option 1 years to maturity
t3	Option 1 years to maturity
t4	Option 1 years to maturity
r	Annualized continuously compounded risk-free rate
d	Annualized continuously compounded dividend yield
ls	Numerical either 1 or -1

Value

Returns a Numerical value

Examples

visual(type = "call", parameter = "premium", s = 100, si = 100, x1 = 90,
x2 = 95, x3 = 105, x4 = 110, v1 = 0.20, ti = 45/365, t1 = 45/365)

visualR documentation built on Aug. 21, 2019, 1:05 a.m.