From 3611a746a9cc1cabb790380f0cd67ed5c9403b7d Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fran=C3=A7ois=20Pelletier?= <franc00018@gmail.com>
Date: Tue, 11 Feb 2014 22:03:45 -0500
Subject: [PATCH] Ajout des fonctions zerobond et parity

---
 .project                          | 19 +++++++++++++++++++
 .settings/de.walware.r.core.prefs |  2 ++
 DESCRIPTION                       | 10 ++++++++++
 R/parity.R                        | 31 +++++++++++++++++++++++++++++++
 R/zerobond.R                      | 24 ++++++++++++++++++++++++
 5 files changed, 86 insertions(+)
 create mode 100644 .project
 create mode 100644 .settings/de.walware.r.core.prefs
 create mode 100644 DESCRIPTION
 create mode 100644 R/parity.R
 create mode 100644 R/zerobond.R

diff --git a/.project b/.project
new file mode 100644
index 0000000..ecb64bd
--- /dev/null
+++ b/.project
@@ -0,0 +1,19 @@
+<?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>
diff --git a/.settings/de.walware.r.core.prefs b/.settings/de.walware.r.core.prefs
new file mode 100644
index 0000000..0c68bf3
--- /dev/null
+++ b/.settings/de.walware.r.core.prefs
@@ -0,0 +1,2 @@
+RProjectBuild/Package.name=OptionPricingStuff
+eclipse.preferences.version=1
diff --git a/DESCRIPTION b/DESCRIPTION
new file mode 100644
index 0000000..d7a9399
--- /dev/null
+++ b/DESCRIPTION
@@ -0,0 +1,10 @@
+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
\ No newline at end of file
diff --git a/R/parity.R b/R/parity.R
new file mode 100644
index 0000000..e33eecb
--- /dev/null
+++ b/R/parity.R
@@ -0,0 +1,31 @@
+# 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)
+	}
+}
diff --git a/R/zerobond.R b/R/zerobond.R
new file mode 100644
index 0000000..5deea0d
--- /dev/null
+++ b/R/zerobond.R
@@ -0,0 +1,24 @@
+# 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
+}