[R-SIG-Finance] For loop & CRRBinomial
James
jctoll at gmail.com
Mon Oct 1 23:06:26 CEST 2007
Hi,
I've been creating P&L plots of basic option positions. In order to
do so, I need to calculate the option prices associated with the
given range of prices for the underlying. When using Rmetrics and
the black scholes model, I can pass in a vector of underlying prices
and get back a vector of option prices. That doesn't seem to work
with the CRRBinomial model. So I've been using a for loop to fill my
vector with option prices:
pricesToday<- NULL
for(price in priceRange) {
pricesToday<-c(pricesToday, CRRBinomialTreeOption
(TypeFlag="ca",S=price, X=20, Time=1/12, r=.05, b=.05, sigma=.4,
n=100)@price)
}
It works, but it just seems "cludgey" to me. Is there a better, more
"r" way of doing this? Thanks.
James
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