R/dif_strike_nodos.R
In veldanie/SuraStructuredNotes: Sura Asset Management Structured Products
Defines functions
dif_strike_nodos
dif_strike_nodos <- function(strike, spot, strike1, strike2, vola1, vola2, r_quote, r_base, t, deltaFwd, fwd=TRUE){
vola=approx_extrap(c(strike1, strike2), c(vola1, vola2), strike)$y
dif=(abs(deltaFwd-callbs_d(spot, strike, vola, r_quote, r_base, t, fwd)))^2
return(dif)
}
veldanie/SuraStructuredNotes documentation built on March 27, 2022, 5:28 p.m.
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Defines functions dif_strike_nodos
dif_strike_nodos <- function(strike, spot, strike1, strike2, vola1, vola2, r_quote, r_base, t, deltaFwd, fwd=TRUE){
vola=approx_extrap(c(strike1, strike2), c(vola1, vola2), strike)$y
dif=(abs(deltaFwd-callbs_d(spot, strike, vola, r_quote, r_base, t, fwd)))^2
return(dif)
}
R Package Documentation
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