LookbackMC:

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

Usage

LookbackMC(o = OptPx(Opt(Style = "Lookback"), r = 0.05, q = 0, vol = 0.3, ), NPaths = 10000, div = 1000, Type = c("Floating", "Fixed"))

Arguments

o
NPaths
div
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"), r = 0.05, q = 0, 
    vol = 0.3, ), NPaths = 10000, div = 1000, Type = c("Floating", 
    "Fixed")) 
{
    stopifnot(is(o, "OptPx"), o$Style$Name == "Lookback", is.character(Type), 
        is.numeric(NPaths), is.numeric(div))
    o.class = class(o)
    Type = match.arg(Type)
    isFixed = switch(Type, Fixed = T, Floating = F)
    isFloating = !isFixed
    dt = o$ttm/div
    payoffs = replicate(NPaths, {
        ds.s = (o$r - o$q) * dt + o$vol * sqrt(dt) * rnorm(div)
        st = c(o$S0, o$S0 * cumprod(1 + ds.s))
        smax = max(st)
        smin = min(st)
        if (isFloating) {
            K = smax * o$Right$Put + smin * o$Right$Call
            ST = st[length(st)]
        }
        else if (isFixed) {
            K = o$K
            ST = smin * o$Right$Put + smax * o$Right$Call
        }
        payoff = exp(-o$r * o$ttm) * o$Right$SignCP * (max(ST - 
            K))
    })
    p = mean(payoffs)
    o$isFixed = isFixed
    o$isFloating = !isFixed
    o$NPaths = NPaths
    o$PxMC = p
    class(o) = o.class
    return(o)
  }

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