BarrierOption           package:RQuantLib           R Documentation

_B_a_r_r_i_e_r _O_p_t_i_o_n _e_v_a_l_u_a_t_i_o_n _u_s_i_n_g _C_l_o_s_e_d-_F_o_r_m _s_o_l_u_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     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.

_U_s_a_g_e:

     ## 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

_A_r_g_u_m_e_n_t_s:

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

_D_e_t_a_i_l_s:

     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.

_V_a_l_u_e:

     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.

_N_o_t_e:

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

_A_u_t_h_o_r(_s):

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

_R_e_f_e_r_e_n_c_e_s:

     <URL: http://quantlib.org> for details on 'QuantLib'.

_S_e_e _A_l_s_o:

     'AmericanOption','EuropeanOption'

_E_x_a_m_p_l_e_s:

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

