Nothing
# 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: BINARY OPTIONS:
# GapOption Gap Option
# CashOrNothingOption Cash Or Nothing Option
# TwoAssetCashOrNothingOption Two Asset Cash-Or Nothing Option
# AssetOrNothingOption Asset Or Nothing Option
# SuperShareOption Super Share Option
# BinaryBarrierOption Binary Barrier Option
################################################################################
test.GapOption =
function()
{
# Examples from Chapter 2.11 in E.G. Haug's Option Guide (1997)
# Gap Option [2.11.1]:
GapOption(TypeFlag = "c", S = 50, X1 = 50, X2 = 57, Time = 0.5,
r = 0.09, b = 0.09, sigma = 0.20)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.CashOrNothingOption =
function()
{
# Cash Or Nothing Option [2.11.2]:
CashOrNothingOption(TypeFlag = "p", S = 100, X = 80, K = 10,
Time = 9/12, r = 0.06, b = 0, sigma = 0.35)
# Two Asset Cash Or Nothing Option [2.11.3]:
# Type 1 - call:
TwoAssetCashOrNothingOption(TypeFlag = "c", S1 = 100, S2 = 100,
X1 = 110, X2 = 90, K = 10, Time = 0.5, r = 0.10, b1 = 0.05,
b2 = 0.06, sigma1 = 0.20, sigma2 = 0.25, rho = 0.5)
# Type 2 - put:
TwoAssetCashOrNothingOption(TypeFlag = "p", S1 = 100, S2 = 100,
X1 = 110, X2 = 90, K = 10, Time = 0.5, r = 0.10, b1 = 0.05,
b2 = 0.06, sigma1 = 0.20, sigma2 = 0.25, rho = -0.5)
# Type 3 - down-up:
TwoAssetCashOrNothingOption(TypeFlag = "ud", S1 = 100, S2 = 100,
X1 = 110, X2 = 90, K = 10, Time = 1, r = 0.10, b1 = 0.05,
b2 = 0.06, sigma1 = 0.20, sigma2 = 0.25, rho = 0)
# Type 4 - up-down:
TwoAssetCashOrNothingOption(TypeFlag = "du", S1 = 100, S2 = 100,
X1 = 110, X2 = 90, K = 10, Time = 1, r = 0.10, b1 = 0.05,
b2 = 0.06, sigma1 = 0.20, sigma2 = 0.25, rho = 0)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.AssetOrNothingOption =
function()
{
# Asset Or Nothing Option [2.11.4]:
AssetOrNothingOption(TypeFlag = "p", S = 70, X = 65, Time = 0.5,
r = 0.07, b = 0.07 - 0.05, sigma = 0.27)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.SuperShareOption =
function()
{
# Super Share Option [2.11.5]:
SuperShareOption(S = 100, XL = 90, XH = 110, Time = 0.25, r = 0.10,
b = 0, sigma = 0.20)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.BinaryBarrierOption =
function()
{
# Binary Barrier Option [2.11.6]:
BinaryBarrierOption(TypeFlag = "6", S = 95, X=102, H = 100,
K = 15, Time = 0.5, r = 0.1, b = 0.1, sigma = 0.20)
BinaryBarrierOption(TypeFlag = "12", S = 95, X = 98, H = 100,
K = 15, Time = 0.5, r = 0.1, b = 0.1, sigma = 0.20)
# Return Value:
return()
}
################################################################################
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