Opt {QFRM}

Opt object constructor

Description

An S3 object constructor for an option contract (financial derivative)

Usage

Opt(Style = c("European", "American", "Asian", "Binary", "AverageStrike",
  "Barrier", "Chooser", "Compound", "DeferredPayment", "ForeignEquity",
  "ForwardStart", "Gap", "HolderExtendible", "Ladder", "Lookback", "MOPM",
  "Perpetual", "Quotient", "Rainbow", "Shout", "SimpleChooser", "VarianceSwap"),
  Right = c("Call", "Put", "Other"), S0 = 50, ttm = 2, K = 52,
  Curr = "$", ContrSize = 100, SName = "A stock share", SSymbol = "")

Arguments

Style

An option style: European or American. Partial names are allowed, eg. E or A

Right

An option right: Call or Put. Partial names are allowed.

S0

A spot price of the underlying security (usually, today's stock price, S_0)

ttm

A time to maturity, in units of time matching r units; usually years

K

A strike price

Curr

An optional currency units for monetary values of the underlying security and an option

ContrSize

A contract size, i.e. number of option shares per contract

SName

A (optional) descriptful name of the underlying. Eg. Microsoft Corp

SSymbol

An (optional) official ticker of the underlying. Eg. MSFT

Value

A list of class Opt

Author(s)

Oleg Melnikov, Department of Statistics, Rice University, Spring 2015

Examples

Opt()  #Creates an S3 object for an option contract
Opt(Right='Put')   #See J. C. Hull, OFOD'2014, 9-ed, Fig.13.10, p.289