[R-SIG-Finance] European options in r3

[Oleg Mubarakshin]

Vishnu,

calculation the Greeks for Eur options has very easy code
if you need just the Greeks calculation - you can use my function for it:

# Function calculates option premium and sensitivities,
# setting b = r we get Black and Scholes' stock option model, b = r-q we get 
Merton's stock option
# model with continuous dividend yield q, b = 0 we get Black's futures 
option model, and b = r-rf
# we get Garman and Kohlhagen's currency option model with foreign interest 
rate rf
GreeksBSM <- function(name="delta", type="p", S=100, K=98, T=0.25, b=0.02, 
r=0.05, v=0.15) {

  c.type <- c("premium", "delta", "vega", "theta", "rho", "gamma", "vanna", 
"volga")

  {# check input params

  if(type == "c" | type == "C") {
    i <- 1
  } else {
    if(type == "p" | type == "P") {
      i <- -1
    } else {
      err <- "Type out of c(c, p)"
      return(list(err=err, value=NA))
    }
  }

  if(!(name %in% c.type)) {
    err <- "Name out of c(premium, delta, vega, theta, rho, gamma, vanna, 
volga)"
    return(list(err=err, value=NA))
  }

  if(S <= 0) {
    err <- "S must have a positive value"
    return(list(err=err, value=NA))
  }

  if(K <= 0) {
    err <- "K must have a positive value"
    return(list(err=err, value=NA))
  }

  if(T <= 0) {
    err <- "T must have a positive value"
    return(list(err=err, value=NA))
  }

  if(v <= 0) {
    err <- "v must have a positive value"
    return(list(err=err, value=NA))
  }

  }

  q <- r - b
  d1 <- (log(S/K) + (r - q + v*v/2) * T)/(v * sqrt(T))
  d2 <- d1 - v * sqrt(T)

  if(name == "premium") {
    out <- i * (S * exp(-q*T) * pnorm(i*d1) - K * exp(-r*T) * pnorm(i*d2))
    return(list(err=0, value=out))
    #GBSOption(TypeFlag=type, S=S, X=K, Time=T, r=r, b=b, sigma=v)@price
  }

  if(name == "delta") {
    out <- i*exp(-q*T) * pnorm(i*d1)
    return(list(err=0, value=out))
    #GBSGreeks(Selection="delta", TypeFlag=type, S=S, X=K, Time=T, r=r, b=b, 
sigma=v)
  }

  if(name == "vega") {
    out <- S * exp(-q*T) * dnorm(d1) * sqrt(T)
    return(list(err=0, value=out))
    #GBSGreeks(Selection="vega", TypeFlag=type, S=S, X=K, Time=T, r=r, b=b, 
sigma=v)
  }

  if(name == "theta") {
    out <- -exp(-q*T) * S*dnorm(d1)*v/(2*sqrt(T)) - 
i*r*K*exp(-r*T)*pnorm(i*d2) +
      i*q*S*exp(-q*T)*pnorm(i*d1)
    return(list(err=0, value=out))
    #GBSGreeks(Selection="theta", TypeFlag=type, S=S, X=K, Time=T, r=r, b=b, 
sigma=v)
  }

  if(name == "rho") {
    out <- i*K * T * exp(-r*T) * pnorm(i*d2)
    return(list(err=0, value=out))
    #GBSGreeks(Selection="rho", TypeFlag=type, S=S, X=K, Time=T, r=r, b=b, 
sigma=v)
  }

  if(name == "gamma") {
    out <- exp(-q*T) * dnorm(d1)/(S*v*sqrt(T))
    return(list(err=0, value=out))
    #GBSGreeks(Selection="gamma", TypeFlag=type, S=S, X=K, Time=T, r=r, b=b, 
sigma=v)
  }

  if(name == "vanna") {
    out <- -exp(-q*T) * dnorm(d1) * d2/v
    return(list(err=0, value=out))
  }

  if(name == "volga") {
    out <- S * exp(-q*T) * dnorm(d1) * sqrt(T) * (d1*d2)/v
    return(list(err=0, value=out))
  }

}



Oleg

-----Исходное сообщение----- 
From: Vishnu B
Sent: Tuesday, November 05, 2013 5:48 PM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] European options in r3

Hi,

Is there any package that works with r3.0.2 that can calculate option Greeks 
for European options?

Thanks
Vishnu

Sent from my iPhone
_______________________________________________
R-SIG-Finance at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-sig-finance
-- Subscriber-posting only. If you want to post, subscribe first.
-- Also note that this is not the r-help list where general R questions 
should go.