R/black76.R
In joshuaulrich/greeks: Financial Option Pricing And Manipulation Tools
Defines functions
black76F
black76F <- function(type=c("call","put"),F, X, T, Tf, r, sigma) {
d1 <- ( log(F/X) + (sigma^2/2)*T ) / (sigma*sqrt(T))
d2 <- d1 - sigma*sqrt(T)
if(match.arg(type)=="call")
exp(-r*Tf) * (F*pnorm(d1) - X*pnorm(d2))
}
joshuaulrich/greeks documentation built on May 19, 2019, 8:54 p.m.
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Defines functions black76F
black76F <- function(type=c("call","put"),F, X, T, Tf, r, sigma) {
d1 <- ( log(F/X) + (sigma^2/2)*T ) / (sigma*sqrt(T))
d2 <- d1 - sigma*sqrt(T)
if(match.arg(type)=="call")
exp(-r*Tf) * (F*pnorm(d1) - X*pnorm(d2))
}
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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