[R-SIG-Finance] Plotting 2 option value lines
James
jctoll at gmail.com
Tue May 8 05:48:44 CEST 2007
Hi,
I'm trying to learn how to use R to do some very basic things with
the fOptions package. At the moment I'm just trying to create a
simple plot with two lines, one depicting the theoretical value of an
option with time to expiration equal to approx. 3 months, and the
other line depicting the value at expiration. This is basically what
I've done:
> x <- (50:80)
> c1 <- GBSOption(TypeFlag="c", S=x, X=65, Time=1/4, r=.08, b=.08,
sigma=.3)@price
> c2 <- GBSOption(TypeFlag="c", S=x, X=65, Time=0.000000001, r=.08,
b=.08, sigma=.3)@price
I can then plot either
> plot(x,c1, type="l")
or
> plot(x,c2, type="l")
and get a decent plot. But how do I create one plot with both
lines? Thanks for any help you can provide.
James
P.S. I probably ought to ask this in a separate thread but what's
the "proper" way of setting the Time such that the options are priced
at expiration. Setting time equal to 0 results in a price when the
underlying is at the strike of N/A. So as a kludge, I simply used
Time=0.000000001. Thanks
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