BarrierOption {RQuantLib} | R Documentation |
This function evaluations an Barrier option on a common stock using a closed-form solution. The option value as well as the common first derivatives ("Greeks") are returned.
BarrierOption.default(barrType, type, underlying, strike, dividendYield, riskFreeRate, maturity, volatility, barrier, rebate=0.0) ## S3 method for class 'Option': print ## S3 method for class 'Option': summary
barrType |
A string with one of the values downin ,
downout , upin or upout |
type |
A string with one of the values call , put or
straddle |
underlying |
Current price of the underlying stock |
strike |
Strike price of the option |
dividendYield |
Continuous dividend yield (as a fraction) of the stock |
riskFreeRate |
Risk-free rate |
maturity |
Time to maturity (in fractional years) |
volatility |
Volatility of the underlying stock |
barrier |
Option barrier value |
rebate |
Optional option rebate, defaults to 0.0 |
A closed-form solution is used to value the Barrier Option. In the case of Barrier options, the calculations are from Haug's "Option pricing formulas" book (McGraw-Hill).
Please see any decent Finance textbook for background reading, and
the QuantLib
documentation for details on the QuantLib
implementation.
An object of class BarrierOption
(which inherits from class
Option
) is returned. It contains a list with the
following components:
value |
Value of option |
delta |
Change in value for a change in the underlying |
gamma |
Change in value for a change in delta |
vega |
Change in value for a change in the underlying's volatility |
theta |
Change in value for a change in delta |
rho |
Change in value for a change in time to maturity |
dividendRho |
Change in value for a change in delta |
parameters |
List with parameters with which object was created |
The interface might change in future release as QuantLib
stabilises its own API.
Dirk Eddelbuettel edd@debian.org for the R interface;
the QuantLib Group for QuantLib
http://quantlib.org for details on QuantLib
.
BarrierOption("downin", "call", 100, 100, 0.02, 0.03, 0.5, 0.4, 90)