compute_option_scenarios: Compute option price scenarios at a given point in time

In zumthor86/OptionsAnalytics: Provides advanced options strategies analytics

Description

Compute option price scenarios at a given point in time

Usage

compute_option_scenarios(
  option_leg,
  scenario_datetime,
  underlyer_prices,
  underlyer_min,
  underlyer_max,
  underlyer_margin = 20,
  vol_min = 0.7,
  vol_max = 1.3,
  n_scenarios = 20
)

Arguments

option_leg	Option Leg object
scenario_datetime	Datetime at which to compute option price scenarios
underlyer_prices	Vector of underlyer closing prices, matching the option leg prices
underlyer_min	Minimum underlyer price
underlyer_max	Maximum underlyer price
underlyer_margin	Integer specifying padding at margins of PnL graph
vol_min	Lower bound of volatility scenarios as a fraction of current volatility
vol_max	Upper bound of volatility scenarios as a fraction of current volatility
n_scenarios	Number of scenarios to compute for underlyer volatility

Value

Matrix of option prices for different underlyer prices and volatility

zumthor86/OptionsAnalytics documentation built on Oct. 20, 2020, 1:15 p.m.