Vishnu,
calculation the Greeks for Eur options has very easy code
if you need just the Greeks calculation - you can use my function for it:
# Function calculates option premium and sensitivities,
# setting b = r we get Black and Scholes' stock option model, b = r-q we get
Merton's stock option
# model with continuous dividend yield q, b = 0 we get Black's futures
option model, and b = r-rf
# we get Garman and Kohlhagen's currency option model with foreign interest
rate rf
GreeksBSM <- function(name="delta", type="p", S=100, K=98, T=0.25, b=0.02,
r=0.05, v=0.15) {
c.type <- c("premium", "delta", "vega", "theta", "rho", "gamma", "vanna",
"volga")
{# check input params
if(type == "c" | type == "C") {
i <- 1
} else {
if(type == "p" | type == "P") {
i <- -1
} else {
err <- "Type out of c(c, p)"
return(list(err=err, value=NA))
}
}
if(!(name %in% c.type)) {
err <- "Name out of c(premium, delta, vega, theta, rho, gamma, vanna,
volga)"
return(list(err=err, value=NA))
}
if(S <= 0) {
err <- "S must have a positive value"
return(list(err=err, value=NA))
}
if(K <= 0) {
err <- "K must have a positive value"
return(list(err=err, value=NA))
}
if(T <= 0) {
err <- "T must have a positive value"
return(list(err=err, value=NA))
}
if(v <= 0) {
err <- "v must have a positive value"
return(list(err=err, value=NA))
}
}
q <- r - b
d1 <- (log(S/K) + (r - q + v*v/2) * T)/(v * sqrt(T))
d2 <- d1 - v * sqrt(T)
if(name == "premium") {
out <- i * (S * exp(-q*T) * pnorm(i*d1) - K * exp(-r*T) * pnorm(i*d2))
return(list(err=0, value=out))
#GBSOption(TypeFlag=type, S=S, X=K, Time=T, r=r, b=b, sigma=v)@price
}
if(name == "delta") {
out <- i*exp(-q*T) * pnorm(i*d1)
return(list(err=0, value=out))
#GBSGreeks(Selection="delta", TypeFlag=type, S=S, X=K, Time=T, r=r, b=b,
sigma=v)
}
if(name == "vega") {
out <- S * exp(-q*T) * dnorm(d1) * sqrt(T)
return(list(err=0, value=out))
#GBSGreeks(Selection="vega", TypeFlag=type, S=S, X=K, Time=T, r=r, b=b,
sigma=v)
}
if(name == "theta") {
out <- -exp(-q*T) * S*dnorm(d1)*v/(2*sqrt(T)) -
i*r*K*exp(-r*T)*pnorm(i*d2) +
i*q*S*exp(-q*T)*pnorm(i*d1)
return(list(err=0, value=out))
#GBSGreeks(Selection="theta", TypeFlag=type, S=S, X=K, Time=T, r=r, b=b,
sigma=v)
}
if(name == "rho") {
out <- i*K * T * exp(-r*T) * pnorm(i*d2)
return(list(err=0, value=out))
#GBSGreeks(Selection="rho", TypeFlag=type, S=S, X=K, Time=T, r=r, b=b,
sigma=v)
}
if(name == "gamma") {
out <- exp(-q*T) * dnorm(d1)/(S*v*sqrt(T))
return(list(err=0, value=out))
#GBSGreeks(Selection="gamma", TypeFlag=type, S=S, X=K, Time=T, r=r, b=b,
sigma=v)
}
if(name == "vanna") {
out <- -exp(-q*T) * dnorm(d1) * d2/v
return(list(err=0, value=out))
}
if(name == "volga") {
out <- S * exp(-q*T) * dnorm(d1) * sqrt(T) * (d1*d2)/v
return(list(err=0, value=out))
}
}
Oleg
-----Исходное сообщение-----
From: Vishnu B
Sent: Tuesday, November 05, 2013 5:48 PM
To: [email protected]
Subject: [R-SIG-Finance] European options in r3
Hi,
Is there any package that works with r3.0.2 that can calculate option Greeks
for European options?
Thanks
Vishnu
Sent from my iPhone
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