OptPx {QFRM} | R Documentation |
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 |
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)
[Package QFRM version 1.0.1 Index]