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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: DESCRIPTION:
# HNGOption Computes Option Price from the HN-GARCH Formula
# HNGGreeks Calculates one of the Greeks of the HN-GARCH Formula
# HNGCharacteristics Computes Option Price and all Greeks of HN-GARCH Model
################################################################################
test.HNGOption =
function()
{
# HNGOption - Computes Option Price from the HN-GARCH Formula
# Define the Model Parameters for a Heston-Nandi Option:
model = list(lambda = -0.5, omega = 2.3e-6, alpha = 2.9e-6,
beta = 0.85, gamma = 184.25)
S = X = 100
Time.inDays = 252
r.daily = 0.05/Time.inDays
sigma.daily = sqrt((model$omega + model$alpha) /
(1 - model$beta - model$alpha * model$gamma^2))
data.frame(S, X, r.daily, sigma.daily)
# HNGOption:
# Compute HNG Call-Put and compare with GBS Call-Put:
HNG = GBS = Diff = NULL
for (TypeFlag in c("c", "p")) {
HNG = c(HNG, HNGOption(TypeFlag, model = model, S = S, X = X,
Time.inDays = Time.inDays, r.daily = r.daily)$price )
GBS = c(GBS, GBSOption(TypeFlag, S = S, X = X, Time = Time.inDays,
r = r.daily, b = r.daily, sigma = sigma.daily)@price)
}
Options = cbind(HNG, GBS, Diff = round(100*(HNG-GBS)/GBS, digits = 2))
row.names(Options) <- c("Call", "Put")
data.frame(Options)
# TODO: HNG not yet a S4 Class Member !!!
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.HNGGreeks =
function()
{
# HNGGreeks - Calculates one of the Greeks of the HN-GARCH Formula
# Define the Model Parameters for a Heston-Nandi Option:
model = list(lambda = -0.5, omega = 2.3e-6, alpha = 2.9e-6,
beta = 0.85, gamma = 184.25)
S = X = 100
Time.inDays = 252
r.daily = 0.05/Time.inDays
sigma.daily = sqrt((model$omega + model$alpha) /
(1 - model$beta - model$alpha * model$gamma^2))
data.frame(S, X, r.daily, sigma.daily)
# Compute HNG Greeks and compare with GBS Greeks:
Selection = c("Delta", "Gamma")
HNG = GBS = NULL
for (i in 1:2){
HNG = c(HNG, HNGGreeks(Selection[i], TypeFlag = "c", model = model,
S = 100, X = 100, Time = Time.inDays, r = r.daily))
GBS = c(GBS, GBSGreeks(Selection[i], TypeFlag = "c", S = 100, X = 100,
Time = Time.inDays, r = r.daily, b = r.daily, sigma = sigma.daily))
}
Greeks = cbind(HNG, GBS, Diff = round(100*(HNG-GBS)/GBS, digits = 2))
row.names(Greeks) <- Selection
data.frame(Greeks)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.HNGCharacteristics =
function()
{
# HNGCharacteristics
# Computes Option Price and all Greeks of HN-GARCH Model
NA
# Return Value:
return()
}
################################################################################
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