OptionPricingStuff/R/parity.R

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2014-02-12 03:03:45 +00:00
# Put-Call Parity
#
# Author: Francois Pelletier
#
# LGPL 3.0
###############################################################################
#' Put-Call Parity
#' @param optionvalue Option price
#' @param stockprice Stock price
#' @param strikeprice Strike price
#' @param eval.time Evaluation time
#' @param expiry.time Expiry time
#' @param rate Continuously compounded interest rate (force of interest)
#' @param toPut Boolean, Call to Put or Put to Call ?
#' @return Option price
#'
#' @author François Pelletier
parity <- function(optionvalue,stockprice,strikeprice,eval.time,expiry.time,rate,toPut=TRUE)
{
if(toPut)
{
optionvalue-stockprice+strikeprice*zerobond(eval.time,expiry.time,rate)
}
else
{
stockprice+optionvalue-strikeprice*zerobond(eval.time,expiry.time,rate)
}
}