calcgreeks {GUIDE}R Documentation

Calculate the greeks for a European Call/Put.

Description

Function to calculate the greeks for a European Call/Put.

Usage

calcgreeks()

Details

The user inputs are as follows:
Spot: to be entered in numbers for e.g. 120.50
Strike: to be entered in numbers for e.g. 110.50
Maturity in number of years: to be entered in decimals. For e.g. 0.25 for a quarter year
Dividend yield: to be entered in decimals. For e.g. 0.02 for 2 per cent
Type of Option: chosen between Call/Put
Greek: chosen amongst Delta, Gamma, Vega, Theta, Rho
Sigma (Volatility) per annum
Risk free rate per annum:
Clicking "+ / -" increases/decreases the value of the above two inputs.

Value

The value of the chosen greek for a European Call/Put.

Author(s)

S Subramanian <ssubramanian@sssihl.edu.in>

References

John C. Hull, "Options, Futures, and Other Derivatives", 8/E, Prentice Hall, 2012.

See Also

blackscholes


[Package GUIDE version 1.2.7 Index]