Opt function

Opt object constructor

An S3 object constructor for an option contract (financial derivative)

Opt(Style = c("European", "American", "Asian", "Binary", "AverageStrike",
  "Barrier", "Chooser", "Compound", "DeferredPayment", "ForeignEquity",
  "ForwardStart", "Gap", "HolderExtendible", "Ladder", "Lookback", "MOPM",
  "Perpetual", "Quotient", "Rainbow", "Shout", "SimpleChooser", "VarianceSwap"),
  Right = c("Call", "Put", "Other"), S0 = 50, ttm = 2, K = 52,
  Curr = "$", ContrSize = 100, SName = "A stock share", SSymbol = "")

Arguments

• Style: An option style: European or American. Partial names are allowed, eg. E or A
• Right: An option right: Call or Put. Partial names are allowed.
• S0: A spot price of the underlying security (usually, today's stock price, $S_0$)
• ttm: A time to maturity, in units of time matching r units; usually years
• K: A strike price
• Curr: An optional currency units for monetary values of the underlying security and an option
• ContrSize: A contract size, i.e. number of option shares per contract
• SName: A (optional) descriptful name of the underlying. Eg. Microsoft Corp
• SSymbol: An (optional) official ticker of the underlying. Eg. MSFT

Returns

A list of class Opt

Examples

Opt()  #Creates an S3 object for an option contract
Opt(Right='Put')   #See J. C. Hull, OFOD'2014, 9-ed, Fig.13.10, p.289

Author(s)

Oleg Melnikov, Department of Statistics, Rice University, Spring 2015