Ajout des fonctions zerobond et parity

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)
+	}
+}

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
+}