DataOpt: Options Information available on the markets.

In PricingMixedTS: Option Pricing with exponential MixedTS process

Description

The constructor DataOpt builds an object of class OptionData-class. This object contains option prices and volatilities available on the markets.

Usage

DataOpt(UnderPrice, PriceOpt, ImpliedVol, TimeToMat, Strike,
  type = "CALL", rate = 0, qyield = 0, Date = Sys.Date(), YearBasis = 360)

Arguments

UnderPrice	a numeric object that contains the actual price of the underlying asset.
PriceOpt	a numeric object that contains the price of call or put options.
ImpliedVol	a numeric object that contains the implied volatility of call or put options.
TimeToMat	a numeric object that contains the time to maturities of the call/put options.
Strike	a numeric object that contains the strike prices.
type	a character object that indicates the nature of the available options. Default call.
rate	a numeric object that is the risk-free rate.
qyield	a numeric object that is the dividend yield rate.
Date	a Date object that indicates the date that the observation occurs.
YearBasis	Day counter basis.

Value

The function returns an object of OptionData-class.

Author(s)

PricingMixedTS Team

References

Available as soon as possible

Examples

##---- Should be DIRECTLY executable !! ----

PricingMixedTS documentation built on May 2, 2019, 5:46 p.m.