compDelta: Compute the undiscounted delta of an option.

In hbianco/plotivol: Plot Impied Volatility

Description

Compute the undiscounted delta of an option.

Usage

compDelta(option_type, future, strike, vol, time_to_exp)

Arguments

option_type	type of the option, either a call or a put. Use 'c' for a call and 'p' for a put.
future	price of the future contract.
strike	strike of the option.
vol	implied volatility.
time_to_expiry	remaining life of the option, in fraction of a year.

Value

The undiscounted delta of a option_type of strike strike and option life of time_to_expiry.

Examples

df <- data.frame(strike = c(50, 20), # the option strike - in $
                 type = c("C", "P"), # either <e2><80><9c>c<e2><80><9d> for call option or <e2><80><9c>p<e2><80><9d> for a put option
                 futurePrice = c(48.03, 48.03), # the price of the underlying future - in $
                 vol = c(0.08, 0.30) # the implied volatility of the underlying future
                 time_to_expiry = c(0.1423, 0.1423))

compDelta(df)

hbianco/plotivol documentation built on May 18, 2019, 3:42 p.m.