inst/unitTests/runit.LookbackOptions.R

In fExoticOptions: Rmetrics - Pricing and Evaluating Exotic Option

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#   1999 - 2007, Diethelm Wuertz, GPL
#   Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
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################################################################################
# FUNCTION:                           LOOKBACK OPTIONS:
#  FloatingStrikeLookbackOption        Floating Strike Lookback Option
#  FixedStrikeLookbackOption           Fixed Strike Lookback Option
#  PTFloatingStrikeLookbackOption      Partial Floating Strike LB Option
#  PTFixedStrikeLookbackOption         Partial Fixed Strike LB Option  
#  ExtremeSpreadOption                 Extreme Spread Option
################################################################################


test.FloatingStrikeLookbackOption = 
function()
{
    # Examples from Chapter 2.9 in E.G. Haug's Option Guide (1997)

    # Floating Strike Lookback Option [2.9.1]:
    FloatingStrikeLookbackOption(TypeFlag = "c", S = 120, 
        SMinOrMax = 100, Time = 0.5, r = 0.10, b = 0.10-0.06, 
        sigma = 0.30)

    # Return Value:
    return()    
}


# ------------------------------------------------------------------------------


test.FixedStrikeLookbackOption = 
function()
{    
    # Fixed Strike Lookback Option [2.9.2]:
    FixedStrikeLookbackOption(TypeFlag = "c", S = 100, 
        SMinOrMax = 100, X = 105, Time = 0.5, r = 0.10, b = 0.10, 
        sigma = 0.30)

    # Return Value:
    return()    
}


# ------------------------------------------------------------------------------


test.PTFloatingStrikeLookbackOption = 
function()
{       
    # Partial Time Floating Strike Lookback Option [2.9.3]:
    PTFloatingStrikeLookbackOption(TypeFlag = "p", S = 90, 
        SMinOrMax = 90, time1 = 0.5, Time2 = 1, r = 0.06, b = 0.06, 
        sigma = 0.20, lambda  = 1)

    # Return Value:
    return()    
}


# ------------------------------------------------------------------------------


test.PTFixedStrikeLookbackOption = 
function()
{       
    # Partial Time Fixed Strike Lookback Option [2.9.4]:
    PTFixedStrikeLookbackOption(TypeFlag = "c", S = 100, X = 90, 
        time1 = 0.5, Time2 = 1, r = 0.06, b = 0.06, sigma = 0.20)

    # Return Value:
    return()    
}


# ------------------------------------------------------------------------------


test.ExtremeSpreadOption = 
function()
{         
    # Extreme Spread Option [2.9.5]:
    ExtremeSpreadOption(TypeFlag = "c", S = 100, SMin = NA, 
        SMax = 110, time1 = 0.5, Time2 = 1, r = 0.1, b = 0.1, 
        sigma = 0.30)
    ExtremeSpreadOption(TypeFlag = "cr", S = 100, SMin = 90, 
        SMax = NA, time1 = 0.5, Time2 = 1, r = 0.1, b = 0.1, 
        sigma = 0.30)

    # Return Value:
    return()    
}


################################################################################