dv {optionstrat} | R Documentation |
Double Vertical Spread Analytics
Description
Calculates the key analytics of a Double Vertical Credit Spread
Usage
dv(s, x1, x2, x3, x4, t, r, sigma, sigma2 = sigma, sigma3 = sigma,
sigma4 = sigma, vol = sigma, d = 0)
Arguments
s |
Spot price of the underlying asset |
x1 |
Strike price of the lower strike (long) put option |
x2 |
Strike price of the higher strike (short) put option |
x3 |
Strike price of the lower strike (short) call option |
x4 |
Strike price of the higher strike (long) call option |
t |
Time to expiration in years |
r |
Annual continuously compounded risk-free rate |
sigma |
Implied volatility of the lower strike (long) put option (annualized) |
sigma2 |
Implied volatility of the higher strike (short) put option (annualized) |
sigma3 |
Implied volatility of the lower strike (short) call option (annualized) |
sigma4 |
Implied volatility of the higher strike (long) call option (annualized) |
vol |
Manual over-ride for the volatility of the underlying asset (annualized) |
d |
Annual continuously compounded dividend yield |
Value
Returns a data.frame
Examples
dv(s = 100, x1 = 90, x2 = 95, x3 = 105, x4 = 110, t = 0.08, r = 0.02, sigma = 0.2, vol = 0.3)