Ajout des fonctions zerobond et parity

.project

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+<?xml version="1.0" encoding="UTF-8"?>
+<projectDescription>
+	<name>OptionPricingStuff</name>
+	<comment></comment>
+	<projects>
+	</projects>
+	<buildSpec>
+		<buildCommand>
+			<name>de.walware.statet.r.builders.RSupport</name>
+			<arguments>
+			</arguments>
+		</buildCommand>
+	</buildSpec>
+	<natures>
+		<nature>de.walware.statet.base.StatetNature</nature>
+		<nature>de.walware.statet.r.RNature</nature>
+		<nature>de.walware.statet.r.RPkgNature</nature>
+	</natures>
+</projectDescription>

.settings/de.walware.r.core.prefs

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+RProjectBuild/Package.name=OptionPricingStuff
+eclipse.preferences.version=1

DESCRIPTION

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+Package: OptionPricingStuff
+Title: Option Pricing Stuff
+Version: 0.1
+Date: 2014-02-11
+Author: Francois Pelletier
+Maintainer: Francois Pelletier <francois@francoispelletier.org>
+Description: This is a package gathering different functions to work with option pricing
+Suggests:
+    MASS
+License: LGPL-3

R/parity.R

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+# 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)
+	}
+}

R/zerobond.R

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+# Evaluate the price of a zero coupon bond
+# 
+# Author: Francois Pelletier
+#
+# LGPL 3.0
+###############################################################################
+
+
+#' Evaluate the price of a zero coupon bond
+#'
+#' Evaluates the actualised price of a bond using interest rate and face value
+#' @title zerobond
+#' @param eval.time Evaluation time
+#' @param expiry.time Expiry time
+#' @param rate Continuously compounded interest rate (force of interest)
+#' @param face Face value
+#' @return Actualised price of bond
+#' 
+#' @author François Pelletier
+
+zerobond <- function(eval.time,expiry.time,rate,face=1)
+{
+	exp(-rate*(expiry.time-eval.time))*face
+}