BOPM_Eu:

In rhooahn/sample-code: What the package does (short line)

Usage

BOPM_Eu(o = OptPx())

Arguments

o

Examples

##---- Should be DIRECTLY executable !! ----
##-- ==>  Define data, use random,
##--	or do  help(data=index)  for the standard data sets.

## The function is currently defined as
function (o = OptPx()) 
{
    stopifnot(is.OptPx(o), o$Style$European)
    with(o, {
        S = S0 * d^(NSteps:0) * u^(0:NSteps)
        O = pmax(o$Right$SignCP * (S - K), 0)
        csl = cumsum(log(c(1, 1:NSteps)))
        tmp = csl[NSteps + 1] - csl - csl[(NSteps + 1):1] + log(p) * 
            (0:NSteps) + log(1 - p) * (NSteps:0)
        o$PxBT = DF_ttm * sum(exp(tmp) * O)
        return(o)
    })
  }

rhooahn/sample-code documentation built on May 27, 2019, 7:40 a.m.