VarianceSwapBS {QFRM}

Variance Swap valuation via Black-Scholes (BS) model

Description

Variance Swap valuation via Black-Scholes (BS) model

Usage

VarianceSwapBS(o = OptPx(Opt(Style = "VarianceSwap", Right = "Other", ttm =
  0.25, S0 = 1020), r = 0.04, q = 0.01), K = seq(800, 1200, 50),
  Vol = seq(0.2, 0.24, 0.005), notional = 10^8, varrate = 0.045)

Arguments

o

An object of class OptPx

K

A vector of non-negative strike prices

Vol

a vector of non-negative, less than zero implied volatilities for the associated strikes

notional

A numeric positive amount to be invested

varrate

A numeric positive varaince rate to be swapped

Value

An object of class OptPx with value included

Author(s)

Max Lee, Department of Statistics, Rice University, Spring 2015

References

Hull, J.C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8, http://www-2.rotman.utoronto.ca/~hull/ofod.

Examples

(o = VarianceSwapBS())$PxBS

o = Opt(Style="VarianceSwap",Right="Other",ttm=.25,S0=1020)
o = OptPx(o,r=.04,q=.01)
Vol = Vol=c(.29,.28,.27,.26,.25,.24,.23,.22,.21)
(o = VarianceSwapBS(o,K=seq(800,1200,50),Vol=Vol,notional=10^8,varrate=.045))$PxBS

o = Opt(Style="VarianceSwap",Right="Other",ttm=.25,S0=1020)
o = OptPx(o,r=.04,q=.01)
Vol=c(.2,.205,.21,.215,.22,.225,.23,.235,.24)
(o =VarianceSwapBS(o,K=seq(800,1200,50),Vol=Vol,notional=10^8,varrate=.045))$PxBS

o = Opt(Style="VarianceSwap",Right="Other",ttm=.1,S0=100)
o = OptPx(o,r=.03,q=.02)
Vol=c(.2,.19,.18,.17,.16,.15,.14,.13,.12)
(o =VarianceSwapBS(o,K=seq(80,120,5),Vol=Vol,notional=10^4,varrate=.03))$PxBS