butterfly: Visualization of Butterfly Spread Strategy

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

Description

The butterfly() function generates a graph showing the profit and loss of butterfly spread trading strategies using call or put options. The reason why butterfly spreads are constructed is that the stock price is expected to change only slightly in the future.

Usage

butterfly(K1 = 45, opt1 = 5, K2 = 50, opt2 = 3, K3 = 55,
  opt3 = 1, 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
K3	Execution Price of Option 3
opt3	Price of Option 3
type	Specifies whether to use call option or put option to carry bear market spread arbitrage. If it is a call option, type = "call" is used to indicate that the strategy is to buy a call option with low execution price and a call option with high execution price and sell two call options with intermediate execution price at the same time; if it is a put option, type = "put" is used to indicate that the strategy is to buy a put option with low execution price and a put option with high execution price at the same time. Put options with two intermediate execution prices. 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 bull 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

bear, bull

Examples

butterfly(K1 = 45, opt1 = 5, K2 = 50, opt2 = 3, K3 = 55, opt3 = 1)
butterfly(K1 = 45, opt1 = 1, K2 = 50, opt2 = 3, K3 = 55, opt3 = 5, type = "put")

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