vertical {optionstrat} | R Documentation |
Vertical Spread Analytics
Description
Calculates the key analytics of a vertical spread
Usage
vertical(options = c("call", "put"), s, x1, x2, t, r, sigma,
sigma2 = sigma, vol = sigma, d = 0)
Arguments
options |
Character string. Either "call", or "put" |
s |
Spot price of the underlying asset |
x1 |
Strike price of the short option |
x2 |
Strike price of the long option |
t |
Time to expiration in years |
r |
Annual continuously compounded risk-free rate |
sigma |
Implied volatility of the short option (annualized) |
sigma2 |
Implied volatility of the long 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
vertical("call", s = 100, x1 = 90, x2 = 110, t = (45/365), r = 0.025, sigma = 0.20, vol = 0.25)
[Package optionstrat version 1.4.1 Index]