assets/FMFE-logo.R

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

library(hexSticker)
library(ggplot2)
library(ggthemes)
theme_set(theme_void())
K1 = 45   # 第一只期权(call)的执行价格
opt1 = 5  # 第一只期权的价值
K2 = 50   # 第二只期权(put)的执行价格
opt2 = 3  # 第二只期权的价值
K3 = 55   # 第三只期权(call)的执行价格
opt3 = 1  # 第三只期权的价值
x = seq(K1 - K1/4, K3 + K3/4, 0.01)           # 股价序列
y1 = ifelse(x >= K1, x - K1 - opt1, -opt1)    # 第一只期权的payoff
y3 = ifelse(x >= K3, x - K3 - opt3, -opt3)    # 第三只期权的payoff
y2 = 2 * ifelse(x >= K2, K2 - x + opt2, opt2) # 第二只期权的payoff
y = y1 + y2 + y3                              # 策略的payoff
df <- data.frame(
  x, y1, y2, y3, y
)
library(reshape2)
df2 <- melt(df, id.vars = "x")
ggplot(df2, aes(x, value, group = variable, colour = variable)) +
  geom_line(size = 2) +
  theme_transparent() +
  theme(legend.position = "none")

ggsave("FMFE.svg")

img_data <- magick::image_read("FMFE-logo.png")
img_data <- magick::image_resize(img_data, "240x278")
magick::image_write(img_data, "FMFE-fit.png")