[R-SIG-Finance] option model for interest rate future

[Robert Sams]

Thanks for the reply Sylvain and Brian,

I take it that GBSOption with b=0 is what I'm looking for. However, I'm confused by the results. As an example, let's take the 94.50 put on the Sep 2008 eurodollar contract, expiry 9/15/08. The price is 94.625 and (price) vol is 12.35%. So,

> GBSOption("p",94.625, 94.50, 458/365, .05507, 0, .12382)

Title:
 Black Scholes Option Valuation 

Call:
 GBSOption(TypeFlag = "p", S = 94.625, X = 94.5, Time = 458/365, 
     r = 0.05507, b = 0, sigma = 0.12382)

Parameters:
          Value:          
 TypeFlag p               
 S        94.625          
 X        94.5            
 Time     1.25479452054795
 r        0.05507         
 b        0               
 sigma    0.12382         

Option Price:
 4.821096 

Description:
 Fri Jun 15 18:58:02 2007 

> GBSGreeks("delta","p",94.625, 94.50, 458/365, .05507, 0, .12382)
[1] -0.4372786
> GBSGreeks("gamma","p",94.625, 94.50, 458/365, .05507, 0, .12382)
[1] 0.02827910
> GBSGreeks("vega","p",94.625, 94.50, 458/365, .05507, 0, .12382)
[1] 39.34058
> GBSGreeks("theta","p",94.625, 94.50, 458/365, .05507, 0, .12382)
[1] -1.675517
> GBSGreeks("rho","p",94.625, 94.50, 458/365, .05507, 0, .12382)
[1] -6.049485

But the correct values (using Bloomberg) are:
Price: 0.2215
Delta: -0.426371
Gamma: 0.499401
Vega: 0.022302
Theta: -0.000268
Rho: -0.277807

What am I doing wrong? 

Thank you,
Robert 

-----Original Message-----
From: Sylvain BARTHELEMY [mailto:barth at tac-financial.com] 
Sent: 14 June 2007 18:01
To: Robert Sams; r-sig-finance at stat.math.ethz.ch
Subject: RE: [R-SIG-Finance] option model for interest rate future

Hi Robert,

I think that the fOptions pack does that: GBSGreeks & GBSVolatility


---
Sylvain Barthélémy
Research Director, TAC
www.tac-financial.com | www.sylbarth.com

-----Message d'origine-----
De : r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] De la part de Robert Sams Envoyé : jeudi 14 juin 2007 17:54 À : r-sig-finance at stat.math.ethz.ch Objet : [R-SIG-Finance] option model for interest rate future

Hi,

Does anyone have R code to calculate implied vol and greeks of an option on an interest rate future (e.g., CME's eurodollar contract)?

Thanks,
Robert

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