computeGreeks: Option Greeks

In GARPFRM: Global Association of Risk Professionals: Financial Risk Manager

Description

Compute the greeks of an option using the Black-Scholes-Merton framework

Usage

computeGreeks(option, greek = c("delta", "theta", "gamma", "rho", "vega"),
  prices = NULL, maturities = NULL, plot = FALSE, ...)

deltaBS(S0, K, r, q, vol, ttm, type)

thetaBS(S0, K, r, q, vol, ttm, type)

gammaBS(S0, K, r, q, vol, ttm, type)

vegaBS(S0, K, r, q, vol, ttm, type)

rhoBS(S0, K, r, q, vol, ttm, type)

Arguments

option	an option object created with optionSpec
greek	one of "delta", "theta", "gamma", "rho", or "vega"
prices	vector of values to compute the greeks as time to maturity varies
maturities	vector of values to compute the greeks as time to maturity varies
plot	TRUE/FALSE to plot the greek value as the underlying price and/ time to maturity vary
S0	underlying asset price
K	strike price
r	risk free rate
q	continuous dividend yield rate for options on stocks or stock indices paying a dividend. Also the foreign risk free rate for options on currencies
vol	volatility of the underlying asset price
ttm	tmie to maturity, the life of the option, measured in years
type	type of the option; "call" or "put"
...	passthrough parameters to plot

Author(s)

Ross Bennett

Examples

euro.call <- optionSpec(style="european", type="call", S0=30, K=30, maturity=1, r=0.05, volatility=0.25, q=0)
# European call greeks
computeGreeks(euro.call, greek = "delta")
computeGreeks(euro.call, greek = "gamma")
computeGreeks(euro.call, greek = "theta")
computeGreeks(euro.call, greek = "vega")
computeGreeks(euro.call, greek = "rho")

# Plotting
computeGreeks(euro.call, "delta", prices = seq(20, 40, 1), plot = TRUE)
computeGreeks(euro.call, "delta", maturities = seq(0.5, 0.01, -0.01), plot = TRUE)

GARPFRM documentation built on May 2, 2019, 5:45 p.m.