visualize: Option Parameter Visualization

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

Description

Creates a 3D Plot of an Option Parameter plotted over time

Usage

visualize(type = "call", parameter = "premium", s = 100, si = 100,
  x1 = 90, x2 = 95, x3 = 105, x4 = 110, v1 = 0.2, v2 = v1,
  v3 = v1, v4 = v1, ti = 45/365, r = 0.02, d = 0, ls = 1,
  low = 75, high = 125, e1 = (0), e2 = (5/365), e3 = (10/365),
  e4 = (15/365), e5 = (20/365), e6 = (25/365), e7 = (30/365),
  e8 = (35/365), e9 = (40/365), e10 = (45/365), c1 = 1, c2 = 1,
  c3 = 1, c4 = 1)

Arguments

type	Character String: "call" or "put"
parameter	Character String: "premium", "delta", "gamma", "vega", "theta", "rho"
s	Underlying Asset Price
si	Initial Price of the underlying asset
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 time to maturity in years
r	Annualized continuously compounded risk-free rate
d	Annualized continuously compounded dividend yield
ls	Numerical either 1 or -1
low	Lower Limit for the price range
high	Upper Limit for the price range
e1	Expiration in years, set to 0
e2	Expiration in years, set to 5/365
e3	Expiration in years, set to 10/365
e4	Expiration in years, set to 15/365
e5	Expiration in years, set to 20/365
e6	Expiration in years, set to 25/365
e7	Expiration in years, set to 30/365
e8	Expiration in years, set to 35/365
e9	Expiration in years, set to 40/365
e10	Expiration in years, set to 45/365
c1	Option 1, Number of Contracts
c2	Option 2, Number of Contracts
c3	Option 3, Number of Contracts
c4	Option 4, Number of Contracts

Value

Plots a 3d Graph in the Viewer tab

Examples

visualize(type = "put", parameter = "delta", s = 100, si = 100,
    x1 = 90, x2 = 95, x3 = 105, x4 = 110, v1 = 0.20,
    ti = 45/365, r = 0.02, d = 0, ls = 1,
    low = 75, high = 125, e1 =(45/365), e2 = (30/365),
    e3 = (15/365), e4 = (1/365), c1 = 1, c2 = 1, c3 = 1, c4 = 1)

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