Opt:

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

Usage

Opt(Style = c("European", "American", "Asian", "Binary", "AverageStrike", "Barrier", "Chooser", "Compound", "DeferredPayment", "ForeignEquity", "ForwardStart", "Gap", "HolderExtendible", "Ladder", "Lookback", "MOPM", "Perpetual", "Quotient", "Rainbow", "Shout", "SimpleChooser", "VarianceSwap"), Right = c("Call", "Put", "Other"), S0 = 50, ttm = 2, K = 52, Curr = "$", ContrSize = 100, SName = "A stock share", SSymbol = "")

Arguments

Style
Right
S0
ttm
K
Curr
ContrSize
SName
SSymbol

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 (Style = c("European", "American", "Asian", "Binary", 
    "AverageStrike", "Barrier", "Chooser", "Compound", "DeferredPayment", 
    "ForeignEquity", "ForwardStart", "Gap", "HolderExtendible", 
    "Ladder", "Lookback", "MOPM", "Perpetual", "Quotient", "Rainbow", 
    "Shout", "SimpleChooser", "VarianceSwap"), Right = c("Call", 
    "Put", "Other"), S0 = 50, ttm = 2, K = 52, Curr = "$", ContrSize = 100, 
    SName = "A stock share", SSymbol = "") 
{
    Style = match.arg(Style)
    s = list(Name = Style)
    s$Vanilla = (Style == "European" || Style == "American")
    s$Exotic = !s$Vanilla
    s$European = (Style == "European")
    s$American = (Style == "American")
    s$Asian = (Style == "Asian")
    s$Binary = (Style == "Binary")
    s$AverageStrike = (Style == "AverageStrike")
    s$Barrier = (Style == "Barrier")
    s$Chooser = (Style == "Chooser")
    s$Compound = (Style == "Compound")
    s$DP = (Style == "DeferredPayment")
    s$ForeignEquity = (Style == "ForeignEquity")
    s$ForwardStart = (Style == "ForwardStart")
    s$Gap = (Style == "Gap")
    s$HolderExtendible = (Style == "HolderExtendible")
    s$Ladder = (Style == "Ladder")
    s$Lookback = (Style == "Lookback")
    s$MOPM = (Style == "MOPM")
    s$Perpetual = (Style == "Perpetual")
    s$Quotient = (Style == "Quotient")
    s$Rainbow = (Style == "Rainbow")
    s$Shout = (Style == "Shout")
    s$SimpleChooser = (Style == "SimpleChooser")
    s$VarianceSwap = (Style == "VarianceSwap")
    Right = match.arg(Right)
    r = list(Name = Right)
    r$Call = (Right == "Call")
    r$Put = (Right == "Put")
    r$Other = (Right == "Other")
    r$SignCP = (r$Call * 2 - 1) * if (r$Other) 
        NA
    else 1
    o = list(S0 = S0, ttm = ttm, K = K, Style = s, Right = r, 
        Curr = Curr, ContrSize = ContrSize, SName = SName, SSymbol = SSymbol)
    class(o) = "Opt"
    return(o)
  }

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