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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2007, Diethelm Wuertz, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: BARRIER OPTIONS:
# StandardBarrierOption Standard Barrier Option
# DoubleBarrierOption Double Barrier Option
# PTSingleAssetBarrierOption Partial Time Barrier Option
# TwoAssetBarrierOption Two Asset Barrier
# PTTwoAssetBarrierOption Partial Time TwoAsset Barrier Option
# LookBarrierOption Look Barrier Option
# DiscreteBarrierOption Discrete Adjusted Barrier Option
# SoftBarrierOption Soft Barrier Option
################################################################################
test.StandardBarrierOption =
function()
{
# Examples from Chapter 2.10 in E.G. Haug's Option Guide (1997)
# Standard Barrier Option [2.10.1]:
# down-and-out Barrier Call
StandardBarrierOption(TypeFlag = "cdo", S = 100, X = 90,
H = 95, K = 3, Time = 0.5, r = 0.08, b = 0.04, sigma = 0.25)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.DoubleBarrierOption =
function()
{
# Double Barrier Option [2.10.2]:
DoubleBarrierOption(TypeFlag = "co", S = 100, X = 100, L = 50,
U = 150, Time = 0.25, r = 0.10, b = 0.10, sigma = 0.15,
delta1 = -0.1, delta2 = 0.1)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.PTSingleAssetBarrierOption =
function()
{
# Partial Time Single-Asset Barrier Option [2.10.3]:
PTSingleAssetBarrierOption(TypeFlag = "coB1", S = 95, X = 110,
H = 100, time1 = 0.5, Time2 = 1, r = 0.20, b = 0.20,
sigma = 0.25)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.TwoAssetBarrierOption =
function()
{
# Two Asset Barrier Option [2.10.4]:
TwoAssetBarrierOption(TypeFlag = "puo", S1 = 100, S2 = 100,
X = 110, H = 105, Time = 0.5, r = 0.08, b1 = 0.08, b2 = 0.08,
sigma1 = 0.2, sigma2 = 0.2, rho = -0.5)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.PTTwoAssetBarrierOption =
function()
{
# PT Two Asset Barrier Option [2.10.5]:
PTTwoAssetBarrierOption(TypeFlag = "pdo", S1 = 100, S2 = 100,
X = 100, H = 85, time1 = 0.5, Time2 = 1, r = 0.1, b1 = 0.1,
b2 = 0.1, sigma1 = 0.25, sigma2 = 0.30, rho = -0.5)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.LookBarrierOption =
function()
{
# Look Barrier Option [2.10.6]:
LookBarrierOption(TypeFlag = "cuo", S = 100, X = 100, H = 130,
time1 = 0.25, Time2 = 1, r = 0.1, b = 0.1, sigma = 0.15)
LookBarrierOption(TypeFlag = "cuo", S = 100, X = 100, H = 110,
time1 = 1, Time2 = 1, r = 0.1, b = 0.1, sigma = 0.30)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.DiscreteBarrierOption =
function()
{
# Discrete Barrier Option [2.10.7]:
DiscreteBarrierOption(S = 100, H = 105, sigma = 0.25, dt = 0.1)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.SoftBarrierOption =
function()
{
# Soft Barrier Option [2.10.8]:
SoftBarrierOption(TypeFlag = "cdo", S = 100, X = 100, L = 70,
U = 95, Time = 0.5, r = 0.1, b = 0.05, sigma = 0.20)
# Return Value:
return()
}
################################################################################
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