Hi Uwe
Am 25.11.2011 09:05, schrieb Uwe Voelker:
I'm completely new to R, but I hope it is good suited for this task. I
It is (but you will have to learn a bit about using it).
found fOptions from rmetrics package, but it only evaluates options.
I'm missing the link to the graph/plot. I googled a lot and could not
The "link" is the graphics and plotting capabilities that come with R.
Start with ?plot.
Can you please point me to an example?
Here is a very simple example:
## a call under Black--Scholes--Merton
callBSM <- function(S,X,tau,r,q,vol) {
if (tau > 0) {
d1 <- (log(S/X) + (r - q + vol^2 / 2)*tau) / (vol*sqrt(tau))
d2 <- d1 - vol*sqrt(tau)
S * exp(-q * tau) * pnorm(d1) - X * exp(-r * tau) * pnorm(d2)
} else {
pmax(S-X,0)
}
}
## now
S <- 70:130 ## evaluate for these spot prices
X <- 100; tau <- 1; r <- 0.02; q <- 0.01; vol <- 0.2
plot(S, callBSM(S,X,tau,r,q,vol), col = grey(.7), type="l", ylab = "payoff")
## some time later
tau <- 0.5
lines(S, callBSM(S,X,tau,r,q,vol), col = grey(.5), type="l")
## expiry
tau <- 0
lines(S, callBSM(S,X,tau,r,q,vol), col = grey(.3), type="l")
##
... or you may want to have a look at
http://dirk.eddelbuettel.com/code/rquantlib.html
Regards,
Enrico
Thanks a lot,
with kind regards,
Uwe
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Enrico Schumann
Lucerne, Switzerland
http://nmof.net/
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