[R-SIG-Finance] RQuantLib - Options value at maturity

[Pedro Baltazar]

Maybe with

    if (tau==0){
        out <- c(max(S0-K,0),rep(NA,8))
        colnames(out) <-
c("value","delta","lambda","gamma","vega","vomma","theta","rho","rhoQ")
    }else{

and the

Concise summary of valuation for EuropeanOption
 value  delta  gamma   vega  theta    rho divRho
     50     NA      NA      NA      NA      NA      NA



On Thu, Apr 17, 2014 at 7:49 PM, Dominykas Grigonis
<dominykasgrigonis at gmail.com> wrote:
> I guess you have a point…
>
> vaBSgreeks <- function(S0, K, r, d, tau, vol, opt){
>     if (tau==0){
>         out <- rep(NA,9)
>         colnames(out) <-
> c("value","delta","lambda","gamma","vega","vomma","theta","rho","rhoQ")
>     }else{
>         b = r-d
>         d_1  <- (log(S0/K)+(b+vol^2/2)*tau)/(vol*sqrt(tau));
>         d_2  <- (log(S0/K)+(b-vol^2/2)*tau)/(vol*sqrt(tau));
>         if(opt==0){
>             value   <-  S0*exp(-d*tau)*stats::pnorm(
> d_1,0,1)-K*exp(-r*tau)*stats::pnorm(d_2,0,1)
>             delta   <-  exp(-d*tau)*stats::pnorm( d_1,0,1)
>             gamma   <-
> (1/sqrt(2*pi)*exp(-d_1^2/2))/(S0*vol*sqrt(tau))*exp(-d*tau)
>             vega    <- S0*sqrt(tau)*(1/sqrt(2*pi)*exp(-d_1^2/2))*exp(-d*tau)
>             vomma   <- vega*d_1*d_2/vol
>             theta   <-
> -S0*(1/sqrt(2*pi)*exp(-d_1^2/2))*vol*exp(-d*tau)/(2*sqrt(tau))+
>
> d*S0*stats::pnorm(d_1,0,1)*exp(-d*tau)-r*K*exp(-r*tau)*stats::pnorm(d_2,0,1)
>             rho     <- K*tau*exp(-r*tau)*stats::pnorm(d_2,0,1)
>             rhoQ    <- -tau*exp(-d*tau)*S0*stats::pnorm(d_1,0,1)
>             lambda  <- delta*S0/value
>         }else if(opt==1){
>             value   <-
> -S0*exp(-d*tau)*stats::pnorm(-d_1,0,1)+K*exp(-r*tau)*stats::pnorm(-d_2,0,1)
>             delta   <- -exp(-d*tau)*stats::pnorm(-d_1,0,1)
>             gamma   <-
> (1/sqrt(2*pi)*exp(-d_1^2/2))/(S0*vol*sqrt(tau))*exp(-d*tau)
>             vega    <- S0*sqrt(tau)*(1/sqrt(2*pi)*exp(-d_1^2/2))*exp(-d*tau)
>             vomma   <- vega*d_1*d_2/vol
>             theta   <-
> -S0*(1/sqrt(2*pi)*exp(-d_1^2/2))*vol*exp(-d*tau)/(2*sqrt(tau))-
>
> d*S0*stats::pnorm(-d_1,0,1)*exp(-d*tau)+r*K*exp(-r*tau)*stats::pnorm(-d_2,0,1)
>             rho     <- -K*tau*exp(-r*tau)*stats::pnorm(-d_2,0,1)
>             rhoQ    <- tau*exp(-d*tau)*S0*stats::pnorm(-d_1,0,1)
>             lambda  <- delta*S0/value
>         }else{
>             stop("opt=0 means CALL; opt=1 means PUT")
>         }
>         return(cbind(value,delta,lambda,gamma,vega,vomma,theta,rho,rhoQ))
>     }
> }
>
> vaBSgreeks(100,100,0.05,0.05,1, 0.1,0)
>
>
> Kind regards,
> --
> Dominykas Grigonis
>
> On Thursday, 17 April 2014 at 15:11, Pedro Baltazar wrote:
>
> If they don't exists the function should return NA, right?
>
> On Thu, Apr 17, 2014 at 2:38 PM, Dominykas Grigonis
> <dominykasgrigonis at gmail.com> wrote:
>
> Theoretically greeks at maturity do not exist. If you want this, then you
> could just write your own if statement: value = max(S-K,0), delta =
> ifelse(S>K,1,0), gamma = ifelse(S=K, Inf, 0), vega = 0, theta =0?, rho = 0,
> divRho = 0
>
>
> Kind regards,
> --
> Dominykas Grigonis
>
> On Thursday, 17 April 2014 at 14:14, Pedro Baltazar wrote:
>
> The "theoretical" value of a call option at maturity is max(S-K,0).
>
> So, I am wondering if there is any a implementation justification not
> to put an some extra "if"s to check this corner cases
>
> Also, when using this function to calibrate other quantitities (where
> maturity is a variable) the fact that it gives zero for maturity=0,
> might have impact in finding max ou min.
>
> Thanks
>
> On Thu, Apr 17, 2014 at 2:04 PM, Ryan Abbate <ryan.abbate at gmail.com> wrote:
>
> The reason is that you define the maturity date as zero, even though this
> particular option is otherwise in-the-money. Try entering maturity = 1 and
> you'll have values that are intuitive.
>
> Hope this helps.
> -Ryan
>
>
> On Thu, Apr 17, 2014 at 8:54 AM, Pedro Baltazar <pedrobtz at gmail.com> wrote:
>
>
> Hello,
>
> why this package gives the value zero, and not (underlying - strike) =
> 50, at maturity?
>
> EuropeanOption("call", underlying=150, strike=100, dividendYield=0.00,
> riskFreeRate=0.03, maturity=0.0,volatility=0.2)
>
> Concise summary of valuation for EuropeanOption
> value delta gamma vega theta rho divRho
> 0 0 0 0 0 0 0
>
> Thanks
>
> --
> Pedro Baltazar
>
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>
> --
> Pedro Baltazar
>
> _______________________________________________
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>
>
>
> --
> Pedro Baltazar
>
>



-- 
Pedro Baltazar