bear: Visualization of Bear Market Spread Strategy

In czxa/FMFE: Options and Futures in Financial Mathematics and Financial Engineering

Description

The bear() function generates a graph showing the gains and losses of bear market spread trading strategies using call or put options. The reason why bear market spreads are constructed is to look short on the market.

Usage

bear(K1 = 40, opt1 = 6, K2 = 60, opt2 = 2, type = "call")

Arguments

K1	Execution Price of Option 1
opt1	Price of Option 1
K2	Execution Price of Option 2
opt2	Price of Option 2
type	Specifies whether to use call option or put option to carry bear market spread arbitrage. If it is a call option, use type = "call" to indicate that the strategy is to buy a call option with a high execution price and sell a call option with a low execution price; if it is a put option, use type = "put", indicating that the strategy is to buy a put option with a high execution price and sell a put option with a low execution price. The default value is "call".

Note

If there is a mutual occlusion problem in the image, you can run the dev.new() command first. If there is still occlusion problem, you can directly run bear command to call out the source code of the function, and eliminate the occlusion problem by modifying the corresponding graphic parameters.

References

OTS package, WangXu [e-mail]

See Also

bull, butterfly

Examples

bear(K1 = 40, opt1 = 6, K2 = 60, opt2 = 2)
bear(K1 = 50, opt1 = 2, K2 = 60, opt2 = 6, type = "put")

czxa/FMFE documentation built on Nov. 6, 2019, 4:58 a.m.