OptPx {QFRM}

OptPx object constructor

Description

An S3 object constructor for lattice-pricing specifications for an option contract. Opt object is inhereted.

Usage

OptPx(o = Opt(), r = 0.05, q = 0, rf = 0, vol = 0.3, NSteps = 3)

Arguments

o

An object of class Opt

r

A risk free rate (annualized)

q

A dividend yield (as annualized rate), Hull/p291

rf

A foreign risk free rate (annualized), Hull/p.292

vol

A volaility (as Sd.Dev, sigma)

NSteps

A number of time steps in BOPM calculation

Value

A list of class OptPx with parameters supplied to Opt and OptPx constructors

Author(s)

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

Examples

OptPx()  #Creates an S3 object for an option contract

#See J.C.Hull, OFOD'2014, 9-ed, Fig.13.10, p.289
OptPx(Opt(Right='Put'))

o = OptPx(Opt(Right='Call', S0=42, ttm=.5, K=40), r=.1, vol=.2)