visualR (version 2.0.2)

visual: Visual Auxiliary Function

Description

Calculates the net parameter value for a double vertical option spread

Usage

visual(type, parameter, s, si, x1, x2, x3, x4, v1, v2 = v1, v3 = v1,
  v4 = v1, ti, t1, t2 = t1, t3 = t1, t4 = t1, r = 0.02, d = 0,
  ls = 1)

Arguments

type

Character String: "call" or "put"

parameter

Character String: "premium", "delta", "gamma", "vega", "theta", "rho"

s

Spot Price

si

Initial Spot Price

x1

Option 1 Strike

x2

Option 2 Strike

x3

Option 3 Strike

x4

Option 4 Strike

v1

Option 1 Volatility

v2

Option 2 Volatility

v3

Option 3 Volatility

v4

Option 4 Volatility

ti

Initial Years to Maturity

t1

Option 1 years to maturity

t2

Option 1 years to maturity

t3

Option 1 years to maturity

t4

Option 1 years to maturity

r

Annualized continuously compounded risk-free rate

d

Annualized continuously compounded dividend yield

ls

Numerical either 1 or -1

Value

Returns a Numerical value

Examples

# NOT RUN {
visual(type = "call", parameter = "premium", s = 100, si = 100, x1 = 90,
x2 = 95, x3 = 105, x4 = 110, v1 = 0.20, ti = 45/365, t1 = 45/365)

# }