R/otm_all.R

In pritamdalal/backtestr: Wrangling Code For Backtesting

#' Retrieves all otm options from a chain
#' 
#' Use this function to extract all otm options from an option chain
#' @export
#' 
#'
otm_all <- function(df_full_chain, implied_forward){
    
    # puts
    df_otm_all_put <- 
        df_full_chain %>%  
        dplyr::filter(type == "put") %>% 
        dplyr::filter(strike <= implied_forward)
    
    # calls
    df_otm_all_call <- 
        df_full_chain %>%  
        dplyr::filter(type == "call") %>% 
        dplyr::filter(strike > implied_forward)
    
    # combining into one dataframe
    df_otm_all <-
        dplyr::bind_rows(df_otm_all_put, df_otm_all_call)
    
    df_otm_all
}