plotvertical {optionstrat}

Plot Custom Vertical Spread

Description

Plot Custom Vertical Spread

Usage

plotvertical(options = c("call", "put"), s, x1, x2, t, r, sigma,
  sigma2 = sigma, d = 0, ll = 0.75, ul = 1.25, xlab = "spot",
  ylab = "profit/loss", main = "Vertical Spread", ...)

Arguments

options

String argument, either "call" or "put"

s

Spot price of the underlying asset

x1

Short strike (either higher or lower)

x2

Long strike (either higher or lower)

t

Time to expiration in years

r

Annual continuously compounded risk-free rate

sigma

Annualized implied volatility of the short option

sigma2

Annualized implied volatility of the long option

d

Annual continuously compounded dividend yield

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 custom vertical 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

plotvertical("call", 100, 90, 110, (45/365), 0.02, 0.20)