ChooserBS:

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

Usage

ChooserBS(o = OptPx(Opt(Style = "Chooser")), t1 = 9/12, t2 = 3/12)

Arguments

o
t1
t2

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(Opt(Style = "Chooser")), t1 = 9/12, t2 = 3/12) 
{
    stopifnot(is.OptPx(o), o$Style$Chooser)
    d2 = (log(o$S0/o$K) + ((o$r - o$q) - o$vol^2/2) * (t1))/(o$vol * 
        sqrt(t1))
    d1 = d2 + o$vol * sqrt(t1)
    d2n = ((log(o$S0/o$K) + (o$r - o$q) * t1 - o$vol^2 * t2/2)/(o$vol * 
        sqrt(t2)))
    d1n = d2n + o$vol * sqrt(t2)
    o$PxBS = (o$S0 * exp(-o$q * t1) * pnorm(d1) - o$K * exp(-o$r * 
        t1) * pnorm(d2) + o$K * exp(-o$r * t1) * pnorm(-d2n) - 
        o$S0 * exp(-o$q * t1) * pnorm(-d1n))
    return(o)
  }

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