LookbackBS:

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

Usage

LookbackBS(o = OptPx(Opt(Style = "Lookback")), Smax = 50, Smin = 50, Type = c("Floating", "Fixed"))

Arguments

o
Smax
Smin
Type

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 = "Lookback")), Smax = 50, Smin = 50, 
    Type = c("Floating", "Fixed")) 
{
    stopifnot(is.OptPx(o), o$Style$Name == "Lookback", is.numeric(Smax), 
        is.numeric(Smin), is.character(Type))
    Type = match.arg(Type)
    isFixed = switch(Type, Fixed = TRUE, Floating = FALSE)
    o$Smax = Smax
    o$Smin = Smin
    o$Type = Type
    fput.px <- function(S.max) {
        b1 = with(o, (log(S.max/S0) + (-r + q + vol^2/2) * ttm)/(vol * 
            sqrt(ttm)))
        b2 = with(o, b1 - vol * sqrt(ttm))
        b3 = with(o, (log(S.max/S0) + (r - q - vol^2/2) * ttm)/(vol * 
            sqrt(ttm)))
        Y2 = with(o, (2 * (r - q - vol^2/2) * log(S.max/S0))/vol^2)
        p_fl = with(o, S.max * exp(-r * ttm) * (pnorm(b1) - (vol^2 * 
            exp(Y2) * pnorm(-b3))/(2 * (r - q))) + (S0 * exp(-o$q * 
            ttm) * vol^2 * pnorm(-b2))/(2 * (r - q)) - S0 * exp(-q * 
            ttm) * pnorm(b2))
        return(p_fl)
    }
    fcall.px <- function(S.min) {
        a1 = with(o, (log(S0/S.min) + (r - q + vol^2/2) * ttm)/(vol * 
            sqrt(ttm)))
        a2 = with(o, a1 - vol * sqrt(ttm))
        a3 = with(o, (log(S0/S.min) + (-r + q + vol^2/2) * ttm)/(vol * 
            sqrt(ttm)))
        Y1 = with(o, (-2 * (r - q - vol^2/2) * log(S0/S.min))/vol^2)
        c_fl = with(o, S0 * exp(-q * ttm) * pnorm(a1) - (S0 * 
            exp(-q * ttm) * vol^2 * pnorm(-a1))/(2 * (r - q)) - 
            S.min * exp(-r * ttm) * (pnorm(a2) - (vol^2 * exp(Y1) * 
                pnorm(-a3))/(2 * (r - q))))
        return(c_fl)
    }
    if (o$Right$Name == "Put") {
        o$PxBS <- with(o, if (!isFixed) 
            fput.px(Smin)
        else fcall.px(min(Smin, K)) + K * exp(-r * ttm) - S0 * 
            exp(-q * ttm))
    }
    else if (o$Right$Name == "Call") {
        o$PxBS <- with(o, if (!isFixed) 
            fcall.px(Smax)
        else fput.px(max(Smax, K)) + S0 * exp(-q * ttm) - K * 
            exp(-r * ttm))
    }
    return(o)
  }

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