| bondoptiontreegui {GUIDE} | R Documentation |
Plot a Bond Option Tree
Description
Function to plot a Bond Option Tree
Usage
bondoptiontreegui()
Details
The user inputs are as follows:
Type of Option: chosen between Call/Put
Exercise style: chosen between European/American
Face Value: to be entered in numbers for e.g. 120.50
Strike price: to be entered in numbers for e.g. 110.50
Rate per annum: to be entered in percent. For e.g. enter 5.0 for 5 percent
Coupon: to be entered in percent. For e.g. enter 5.0 for 5 percent
u: up move factor- to be entered in decimals. For e.g. 1.25
d: down move factor- to be entered in decimals. For e.g. 0.80
q: probability of up move- to be entered in decimals. For e.g. 0.60
Bond Maturity: Clicking on the '+' and '-' respectively increases and decreases the value.
Option Maturity: must be lesser than Bond Maturity. Clicking on the '+' and '-' respectively increases and decreases the value.
Plot type: chosen between Bond Option tree / Bond tree
Value
A plot of Bond Option Tree with user specified parameters.
Author(s)
S Subramanian <ssubramanian@sssihl.edu.in>
References
David G. Luenberger, "Investment Science", 2/E, Oxford University Press, 2013.