BinaryOption            package:RQuantLib            R Documentation

_B_i_n_a_r_y _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 Binary 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:
     BinaryOption(type, underlying, strike, dividendYield,
             riskFreeRate, maturity, volatility, cashPayoff)

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

_A_r_g_u_m_e_n_t_s:

    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

cashPayoff: Payout amount

_D_e_t_a_i_l_s:

     A closed-form solution is used to value the Binary Option.

     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 'BinaryOption' (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

_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:

     BinaryOption("call", 100, 100, 0.02, 0.03, 0.5, 0.4, 10)

