I guess you have a pointâ¦
vaBSgreeks <- function(S0, K, r, d, tau, vol, opt){
if (tau==0){
out <- rep(NA,9)
colnames(out) <-
c("value","delta","lambda","gamma","vega","vomma","theta","rho","rhoQ")
}else{
b = r-d
d_1 <- (log(S0/K)+(b+vol^2/2)*tau)/(vol*sqrt(tau));
d_2 <- (log(S0/K)+(b-vol^2/2)*tau)/(vol*sqrt(tau));
if(opt==0){
value <- S0*exp(-d*tau)*stats::pnorm(
d_1,0,1)-K*exp(-r*tau)*stats::pnorm(d_2,0,1)
delta <- exp(-d*tau)*stats::pnorm( d_1,0,1)
gamma <-
(1/sqrt(2*pi)*exp(-d_1^2/2))/(S0*vol*sqrt(tau))*exp(-d*tau)
vega <- S0*sqrt(tau)*(1/sqrt(2*pi)*exp(-d_1^2/2))*exp(-d*tau)
vomma <- vega*d_1*d_2/vol
theta <-
-S0*(1/sqrt(2*pi)*exp(-d_1^2/2))*vol*exp(-d*tau)/(2*sqrt(tau))+
d*S0*stats::pnorm(d_1,0,1)*exp(-d*tau)-r*K*exp(-r*tau)*stats::pnorm(d_2,0,1)
rho <- K*tau*exp(-r*tau)*stats::pnorm(d_2,0,1)
rhoQ <- -tau*exp(-d*tau)*S0*stats::pnorm(d_1,0,1)
lambda <- delta*S0/value
}else if(opt==1){
value <-
-S0*exp(-d*tau)*stats::pnorm(-d_1,0,1)+K*exp(-r*tau)*stats::pnorm(-d_2,0,1)
delta <- -exp(-d*tau)*stats::pnorm(-d_1,0,1)
gamma <-
(1/sqrt(2*pi)*exp(-d_1^2/2))/(S0*vol*sqrt(tau))*exp(-d*tau)
vega <- S0*sqrt(tau)*(1/sqrt(2*pi)*exp(-d_1^2/2))*exp(-d*tau)
vomma <- vega*d_1*d_2/vol
theta <-
-S0*(1/sqrt(2*pi)*exp(-d_1^2/2))*vol*exp(-d*tau)/(2*sqrt(tau))-
d*S0*stats::pnorm(-d_1,0,1)*exp(-d*tau)+r*K*exp(-r*tau)*stats::pnorm(-d_2,0,1)
rho <- -K*tau*exp(-r*tau)*stats::pnorm(-d_2,0,1)
rhoQ <- tau*exp(-d*tau)*S0*stats::pnorm(-d_1,0,1)
lambda <- delta*S0/value
}else{
stop("opt=0 means CALL; opt=1 means PUT")
}
return(cbind(value,delta,lambda,gamma,vega,vomma,theta,rho,rhoQ))
}
}
vaBSgreeks(100,100,0.05,0.05,1, 0.1,0)
Kind regards,--
Dominykas Grigonis
On Thursday, 17 April 2014 at 15:11, Pedro Baltazar wrote:
> If they don't exists the function should return NA, right?
>
> On Thu, Apr 17, 2014 at 2:38 PM, Dominykas Grigonis
> <[email protected] (mailto:[email protected])> wrote:
> > Theoretically greeks at maturity do not exist. If you want this, then you
> > could just write your own if statement: value = max(S-K,0), delta =
> > ifelse(S>K,1,0), gamma = ifelse(S=K, Inf, 0), vega = 0, theta =0?, rho = 0,
> > divRho = 0
> >
> >
> > Kind regards,
> > --
> > Dominykas Grigonis
> >
> > On Thursday, 17 April 2014 at 14:14, Pedro Baltazar wrote:
> >
> > The "theoretical" value of a call option at maturity is max(S-K,0).
> >
> > So, I am wondering if there is any a implementation justification not
> > to put an some extra "if"s to check this corner cases
> >
> > Also, when using this function to calibrate other quantitities (where
> > maturity is a variable) the fact that it gives zero for maturity=0,
> > might have impact in finding max ou min.
> >
> > Thanks
> >
> > On Thu, Apr 17, 2014 at 2:04 PM, Ryan Abbate <[email protected]
> > (mailto:[email protected])> wrote:
> >
> > The reason is that you define the maturity date as zero, even though this
> > particular option is otherwise in-the-money. Try entering maturity = 1 and
> > you'll have values that are intuitive.
> >
> > Hope this helps.
> > -Ryan
> >
> >
> > On Thu, Apr 17, 2014 at 8:54 AM, Pedro Baltazar <[email protected]
> > (mailto:[email protected])> wrote:
> >
> >
> > Hello,
> >
> > why this package gives the value zero, and not (underlying - strike) =
> > 50, at maturity?
> >
> > EuropeanOption("call", underlying=150, strike=100, dividendYield=0.00,
> > riskFreeRate=0.03, maturity=0.0,volatility=0.2)
> >
> > Concise summary of valuation for EuropeanOption
> > value delta gamma vega theta rho divRho
> > 0 0 0 0 0 0 0
> >
> > Thanks
> >
> > --
> > Pedro Baltazar
> >
> > _______________________________________________
> > [email protected] (mailto:[email protected]) mailing
> > list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> > should go.
> >
> >
> >
> >
> > --
> > Pedro Baltazar
> >
> > _______________________________________________
> > [email protected] (mailto:[email protected]) mailing
> > list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.
> > -- Also note that this is not the r-help list where general R questions
> > should go.
> >
>
>
>
>
> --
> Pedro Baltazar
>
>
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