ChooserLT:

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

Usage

ChooserLT(o = OptPx(Opt(Style = "Chooser")), ttc = 0.5, IncBT = FALSE)

Arguments

o
ttc
IncBT

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")), ttc = 0.5, IncBT = FALSE) 
{
    stopifnot(is.OptPx(o), o$Style$Chooser, is.numeric(ttc))
    NSteps = o$NSteps
    p = o$p
    K = o$K
    step.ttc = ttc/o$ttm * NSteps
    S = with(o, S0 * d^(0:NSteps) * u^(NSteps:0))
    O.call = pmax((S - K), 0)
    O.put = pmax(-(S - K), 0)
    O.chooser = c()
    ReCalc.O_S.on.Prior.Time.Step = function(i) {
        if (i >= step.ttc + 1) {
            O.call <<- o$DF_dt * (p * O.call[-i - 1] + (1 - p) * 
                O.call[-1])
            O.put <<- o$DF_dt * (p * O.put[-i - 1] + (1 - p) * 
                O.put[-1])
            S <<- o$d * S[-i - 1]
            Payout.call = pmax((S - K), 0)
            Payout.put = pmax(-(S - K), 0)
            if (o$Style$American == TRUE) {
                O.call <<- pmax(O.call, Payout.call)
                O.put <<- pmax(O.put, Payout.put)
            }
            return(cbind(S, O.call, O.put))
        }
        else if (i == step.ttc) {
            S <<- o$d * S[-i - 1]
            O.chooser <<- o$DF_dt * (p * pmax(O.call[-i - 1], 
                O.put[-i - 1]) + (1 - p) * pmax(O.call[-1], O.put[-1]))
            Payout.call = pmax((S - K), 0)
            Payout.put = pmax(-(S - K), 0)
            if (o$Style$American == TRUE) {
                O.chooser <<- pmax(O.chooser, Payout.call, Payout.put)
            }
            return(cbind(S, O.chooser))
        }
        else {
            S <<- o$d * S[-i - 1]
            O.chooser <<- o$DF_dt * (p * O.chooser[-i - 1] + 
                (1 - p) * O.chooser[-1])
            Payout.call = pmax((S - K), 0)
            Payout.put = pmax(-(S - K), 0)
            if (o$Style$American == TRUE) {
                O.chooser <<- pmax(O.chooser, Payout.call, Payout.put)
            }
            return(cbind(S, O.chooser))
        }
    }
    BT = append(list(cbind(S, O.call, O.put)), sapply(NSteps:1, 
        ReCalc.O_S.on.Prior.Time.Step))
    o$ttc <- ttc
    o$IncBT <- IncBT
    o$PxLT = BT[[length(BT)]][[2]]
    if (IncBT) 
        o$BT = BT
    return(o)
  }

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