Option Pricing Functions

1. ## Option pricing Functions
4. EuropeanOption <- function(type, underlying, strike, dividendYield,
5. riskFreeRate, maturity, volatility) {
6. UseMethod("EuropeanOption")
7. }
9. EuropeanOption.default <- function(type, underlying, strike, dividendYield,
10. riskFreeRate, maturity, volatility) {
11. type <- match.arg(type, c("call", "put"))
12. val <- europeanOptionEngine(type, underlying, strike, dividendYield,
13. riskFreeRate, maturity, volatility)
14. class(val) <- c("EuropeanOption", "Option")
15. val
16. }
18. AmericanOption <- function(type, underlying, strike, dividendYield,
19. riskFreeRate, maturity, volatility,
20. timeSteps=150, gridPoints=149,
21. engine="BaroneAdesiWhaley") {
22. UseMethod("AmericanOption")
23. }
25. AmericanOption.default <- function(type, underlying, strike, dividendYield,
26. riskFreeRate, maturity, volatility,
27. timeSteps=150, gridPoints=149,
28. engine="BaroneAdesiWhaley") {
29. type <- match.arg(type, c("call", "put"))
30. engine <- match.arg(engine, c("BaroneAdesiWhaley", "CrankNicolson"))
31. val <- americanOptionEngine(type, underlying, strike, dividendYield,
32. riskFreeRate, maturity, volatility,
33. timeSteps, gridPoints, engine)
34. class(val) <- c("AmericanOption","Option")
35. val
36. }
38. BinaryOption <- function(binType, type, excType, underlying, strike, dividendYield,
39. riskFreeRate, maturity, volatility,
40. cashPayoff) {
41. UseMethod("BinaryOption")
42. }
44. BinaryOption.default <- function(binType, type, excType, underlying, strike, dividendYield,
45. riskFreeRate, maturity, volatility,
46. cashPayoff) {
47. type <- match.arg(type, c("call", "put"))
48. binType <- match.arg(binType, c("cash", "asset", "gap"))
49. excType <- match.arg(excType, c("american", "european"))
50. val <- binaryOptionEngine(binType, type, excType, underlying,
51. strike, dividendYield, riskFreeRate,
52. maturity, volatility, cashPayoff)
53. class(val) <- c("BinaryOption", "Option")
54. val
55. }
57. BarrierOption <- function(barrType, type, underlying, strike,
58. dividendYield, riskFreeRate, maturity,
59. volatility, barrier, rebate=0.0) {
60. UseMethod("BarrierOption")
61. }
63. BarrierOption.default <- function(barrType, type, underlying, strike,
64. dividendYield, riskFreeRate, maturity,
65. volatility, barrier, rebate=0.0) {
66. type <- match.arg(type, c("call", "put"))
67. barrType <- match.arg(barrType, c("downin", "upin", "downout", "upout"))
68. val <- barrierOptionEngine(barrType, type, underlying, strike, dividendYield,
69. riskFreeRate, maturity, volatility, barrier, rebate)
70. class(val) <- c("BarrierOption", "Option")
71. val
72. }
74. plot.Option <- function(x, ...) {
75. warning("No plotting available for class", class(x)[1],"\n")
76. invisible(x)
77. }
79. print.Option <- function(x, digits=4, ...) {
80. cat("Concise summary of valuation for", class(x)[1], "\n")
81. print(round(unlist(x[1:7]), digits))
82. invisible(x)
83. }
85. summary.Option <- function(object, digits=4, ...) {
86. cat("Detailed summary of valuation for", class(object)[1], "\n")
87. print(round(unlist(object[1:7]), digits))
88. cat("with parameters\n")
89. print(unlist(object[["parameters"]]))
90. invisible(object)
91. }

##  Option pricing Functions


EuropeanOption <- function(type, underlying, strike, dividendYield,
                           riskFreeRate, maturity, volatility) {
    UseMethod("EuropeanOption")
}

EuropeanOption.default <- function(type, underlying, strike, dividendYield,
                                   riskFreeRate, maturity, volatility) {
    type <- match.arg(type, c("call", "put"))
    val <- europeanOptionEngine(type, underlying, strike, dividendYield,
                                riskFreeRate, maturity, volatility)
    class(val) <- c("EuropeanOption", "Option")
    val
}

AmericanOption <- function(type, underlying, strike, dividendYield,
                           riskFreeRate, maturity, volatility,
                           timeSteps=150, gridPoints=149,
                           engine="BaroneAdesiWhaley") {
    UseMethod("AmericanOption")
}

AmericanOption.default <- function(type, underlying, strike, dividendYield,
                                   riskFreeRate, maturity, volatility,
                                   timeSteps=150, gridPoints=149,
                                   engine="BaroneAdesiWhaley") {
    type <- match.arg(type, c("call", "put"))
    engine <- match.arg(engine, c("BaroneAdesiWhaley", "CrankNicolson"))
    val <- americanOptionEngine(type, underlying, strike, dividendYield,
                                riskFreeRate, maturity, volatility,
                                timeSteps, gridPoints, engine)
    class(val) <- c("AmericanOption","Option")
    val
}

BinaryOption <- function(binType, type, excType, underlying, strike, dividendYield,
                         riskFreeRate, maturity, volatility,
                         cashPayoff) {
    UseMethod("BinaryOption")
}

BinaryOption.default <- function(binType, type, excType, underlying, strike, dividendYield,
                                 riskFreeRate, maturity, volatility,
                                 cashPayoff) {
    type <- match.arg(type, c("call", "put"))
    binType <- match.arg(binType, c("cash", "asset", "gap"))
    excType <- match.arg(excType, c("american", "european"))
    val <- binaryOptionEngine(binType, type, excType, underlying,
                              strike, dividendYield, riskFreeRate,
                              maturity, volatility, cashPayoff) 
    class(val) <- c("BinaryOption", "Option")
    val
}

BarrierOption <- function(barrType, type, underlying, strike,
                          dividendYield, riskFreeRate, maturity,
                          volatility, barrier, rebate=0.0) {
    UseMethod("BarrierOption")
}

BarrierOption.default <- function(barrType, type, underlying, strike,
                                  dividendYield, riskFreeRate, maturity,
                                  volatility, barrier, rebate=0.0) {
    type <- match.arg(type, c("call", "put"))
    barrType <- match.arg(barrType, c("downin", "upin", "downout", "upout"))
    val <- barrierOptionEngine(barrType, type, underlying, strike, dividendYield,
                               riskFreeRate, maturity, volatility, barrier, rebate)
    class(val) <- c("BarrierOption", "Option")
    val
}

plot.Option <- function(x, ...) {
    warning("No plotting available for class", class(x)[1],"\n")
    invisible(x)
}

print.Option <- function(x, digits=4, ...) {
    cat("Concise summary of valuation for", class(x)[1], "\n")
    print(round(unlist(x[1:7]), digits))
    invisible(x)
}

summary.Option <- function(object, digits=4, ...) {
    cat("Detailed summary of valuation for", class(object)[1], "\n")
    print(round(unlist(object[1:7]), digits))
    cat("with parameters\n")
    print(unlist(object[["parameters"]]))
    invisible(object)
}