compute_option_pnl: Compute option leg pnl before accounting for premiums

In zumthor86/optPnL: Plots options strategy profit and loss diagrams

Description

Compute option leg pnl before accounting for premiums

Usage

compute_option_pnl(underlyer_space, multiplier = 100, days_to_exp = 0,
  r = 0.005, b = 0, implied_vol = self$implied_vol)

Arguments

multiplier	Number of underlyer instrument to which option holder is entitled, integer
days_to_exp	Days to expiration, double
r	Annualized rate of interest, double
b	Annualized cost of carry, double
anchor	Centre point of the pnl range, double
sigma	Annualized volatility/standard deviation, double

Value

Matrix containing pnl for different levels of the underlyer

zumthor86/optPnL documentation built on Nov. 19, 2020, 5:15 p.m.