BS_Simple:

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

Usage

BS_Simple(S0 = 42, K = 40, r = 0.1, q = 0, ttm = 0.5, vol = 0.2)

Arguments

S0
K
r
q
ttm
vol

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 (S0 = 42, K = 40, r = 0.1, q = 0, ttm = 0.5, vol = 0.2) 
{
    stopifnot(is.numeric(S0), S0 >= 0, is.numeric(K), K > 0, 
        is.numeric(r), r >= 0 && r <= 1, is.numeric(q), q >= 
            0 && q <= 1, is.numeric(ttm), ttm > 0, is.numeric(vol), 
        vol > 0)
    d1 = (log(S0/K) + (r - q + (vol^2)/2) * ttm)/(vol * sqrt(ttm))
    d2 = d1 - vol * sqrt(ttm)
    Nd1 = pnorm(d1)
    Nd2 = pnorm(d2)
    Call = S0 * exp(-q * ttm) * Nd1 - K * exp(-r * ttm) * Nd2
    Put = K * exp(-r * ttm) * pnorm(-d2) - S0 * exp(-q * ttm) * 
        pnorm(-d1)
    Px = list(Call = Call, Put = Put)
    BS = list(d1 = d1, d2 = d2, Nd1 = Nd1, Nd2 = Nd2, Px = Px)
    return(BS)
  }

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