R/06_strapPnL.R

In volatilityTrader: High Volatility Environment Option Trading Strategies Graphs

#'Calculates per share Profit and Loss (PnL) at expiration for Strap Option Strategy and draws its Bar Plot displaying PnL in the Plots tab.
#'@description
#'This is a volatility strategy consisting of a long position in two ATM (at the money) calls , and a long position in an ATM (at the money) put option with a strike price X. This is a net debit trade. The trader or investor has bullish outlook (Kakushadze & Serur, 2018) .
#'@details
#'According to conceptual details given by Cohen (2015), and a closed form solution provided by Kakushadze and Serur (2018), this method is developed, and the given examples are created, to compute per share Profit and Loss at expiration for Strap Option Strategy and draw its graph in the Plots tab.
#'@param ST Spot Price at time T.
#'@param X Strike Price or eXercise price.
#'@param C1 Call Premium or Call Price paid for first bought Call.
#'@param C2 Call Premium or Call Price paid for bought Call.
#'@param P Put Premium paid for the bought put.
#'@param PnL Profit and Loss
#'@param spot Spot Price
#'@param pl Profit and Loss
#'@param myData Data frame
#'@param myTibble tibble
#'@param hl lower bound value for setting lower-limit of x-axis displaying spot price.
#'@param hu upper bound value for setting upper-limit of x-axis displaying spot price.
#'@return graph of the strategy
#'@importFrom magrittr %>%
#'@importFrom ggplot2 ggplot
#'@importFrom ggplot2 geom_point
#'@importFrom ggplot2 scale_fill_manual
#'@importFrom ggplot2 scale_color_manual
#'@importFrom ggplot2 geom_col
#'@importFrom tibble as_tibble
#'@importFrom dplyr mutate
#'@importFrom ggplot2 aes
#'@importFrom ggplot2 element_line
#'@importFrom ggplot2 element_rect
#'@importFrom ggplot2 element_text
#'@importFrom ggplot2 geom_line
#'@importFrom ggplot2 geom_text
#'@importFrom ggplot2 labs
#'@importFrom ggplot2 scale_colour_manual
#'@importFrom ggplot2 scale_y_continuous
#'@importFrom ggplot2 theme
#'@examples
#'strapPnL(25,25,2.40,2.40,1.70)
#'strapPnL(40,40,3,3,2,hl=0.7,hu=1.2)
#'strapPnL(1000,1010,18,18,10,hl=0.955,hu=1.055)
#'@export
strapPnL <- function (ST,X,C1,C2,P,hl=0,hu=2,spot=spot,pl=pl,myData=myData,myTibble=myTibble,PnL=PnL){
  V0Dr=C1+C2+P
  myData <- data.frame (spot = c((ST*hl):(ST*hu)))
  myData$pl <- (2*pmax((myData$spot-X),0)+(pmax((X-myData$spot),0))-V0Dr)
  myData$pl = round(myData$pl, digits=2)
  myData$spot = round(myData$spot, digits=2)
  myTibble <- as_tibble(myData)
  myTbColored <- myTibble %>% mutate(PnL = pl >= 0)
  ggplot(myTbColored,aes(x=spot,y=pl,fill=PnL,label=pl)) +
    geom_col(position = "identity") +
    scale_fill_manual(values = c("#D47188","#1B7979"), guide= "none" ) +
    geom_point(aes(color=PnL))+
    scale_color_manual(values =  c("red","chartreuse"), guide= "none" ) +
    geom_text(nudge_y = 0.6,size= 3, color="navyblue")+
    theme(plot.caption = element_text(colour  =  'lightsteelblue3'))+
    theme(axis.line = element_line(linetype  =  'solid',colour ="darkmagenta" ))+
    theme(axis.ticks = element_line(size  =  1,colour = "deeppink1"))+
    theme(panel.grid.major = element_line(colour  =  'lightsteelblue1'))+
    theme(panel.grid.minor = element_line(colour  =  'thistle2'))+
    theme(axis.title = element_text(colour  =  'blue'))+
    theme(plot.title = element_text(colour  =  'brown3', vjust  =  1))+
    theme(panel.background = element_rect(fill  =  '#F2F2F9'))+
    theme(plot.background = element_rect(fill  =  '#E6E6FA', colour  =  'aquamarine4', linetype  =  'dashed'))+
    labs(title  =  'Strap Strategy', x  =  'Spot Price ($) at Expiration', y  =  'PnL ($) at Expiration', subtitle  =  'High Volatility / Bullish Outlook', caption  =  'volatilityTrader / MaheshP Kumar')
}