R/callbs_d.R

In veldanie/SuraStructuredNotes: Sura Asset Management Structured Products

callbs_d<-function(spot, strike, v, r, rf, t, fwd=TRUE){
  #r, rf tasas Nominales. t es tiempo en a?os.
  r_c=log(1+r*t)/t
  rf_c=log(1+rf*t)/t
  d1=(log(spot/strike)+(r_c-rf_c+v^2/2)*t)/(v*sqrt(t))
  if(fwd==TRUE){delta=pnorm(d1)} else {delta=exp(-rf_c*t)*pnorm(d1)}
  return(delta)
}