BarrierOption {RQuantLib} | R Documentation

## Barrier Option evaluation using Closed-Form solution

### Description

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.

### Usage

    ## Default S3 method:
    BarrierOption(barrType, type, underlying, strike,
                          dividendYield,
                          riskFreeRate, maturity, volatility,
                          barrier, rebate=0.0)

    ## S3 method for class 'Option':
    print
    ## S3 method for class 'Option':
    summary

### Arguments

`barrType` | A string with one of the values `downin`, `downout`, `upin` or `upout`
`type` | A string with one of the values `call` or `put`
`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

### Details

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.

### Value

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` | Sensitivity of the option value for a change in the underlying
`gamma` | Sensitivity of the option delta for a change in the underlying
`vega` | Sensitivity of the option value for a change in the underlying's volatility
`theta` | Sensitivity of the option value for a change in t, the remaining time to maturity
`rho` | Sensitivity of the option value for a change in the risk-free interest rate
`dividendRho` | Sensitivity of the option value for a change in the dividend yield
`parameters` | List with parameters with which object was created

.
Note that under the new pricing framework used in QuantLib, binary pricers do not provide analytics for 'Greeks'. This is expected to be addressed in future releases of QuantLib.

### Note

The interface might change in future release as `QuantLib` stabilises its own API.

### Author(s)

Dirk Eddelbuettel edd@debian.org for the R interface; the QuantLib Group for `QuantLib`

### References

http://quantlib.org for details on `QuantLib`.

### See Also

`AmericanOption`,`EuropeanOption`

### Examples

    BarrierOption(barrType="downin", type="call", underlying=100,
            strike=100, dividendYield=0.02, riskFreeRate=0.03,
            maturity=0.5, volatility=0.4, barrier=90)

[Package RQuantLib version 0.2.7 Index]