plotbullput {optionstrat}

Plot Bull Put Spread

Description

Plot a bull put spread (credit spread)

Usage

plotbullput(s, x1, x2, t, r, d = 0, sigma, sigma2 = sigma, ll = 0.75,
  ul = 1.25, xlab = "spot", ylab = "Profit/Loss",
  main = "Bull Put Spread", ...)

Arguments

s

Spot price of the underlying asset

x1

Lower-strike option price (long option)

x2

Higher-strike option price (short option)

t

Time to expiration in years

r

Annual continuously compounded risk-free rate

d

Annual continuously compounded risk-free rate

sigma

Annualized implied volatility of the lower-strike option

sigma2

Annualized implied volatility of the higher-strike option

ll

Lower-limit of the plot, set as (desired price/spot)

ul

Upper-limit of the plot, set as (desired price/spot)

xlab

X-Axis Label

ylab

Y-Axis Label

main

Title of the plot

...

Additional plot parameters

Value

Returns a plot of a vertical put spread (credit spread). Black line: The profit(loss) at expiration. Red line: The profit(loss) at (1/2) time "t" ~ half-way to expiration. Blue line: The profit(loss) at inception.

Author(s)

John T. Buynak

Examples

plotbullput(s= 100, x1 = 95, x2 = 105, t = (45/365), r = 0.02,
sigma = 0.20, sigma2 = 0.20, d = 0, ll = 0.75, ul = 1.25)