ajouts Epps

.Rbuildignore

@@ -0,0 +1,2 @@
+^.*\.Rproj$
+^\.Rproj\.user$

.gitignore

@@ -3,3 +3,4 @@
 
 # Example code in package build process
 *-Ex.R
+.Rproj.user

DESCRIPTION

@@ -4,7 +4,8 @@ 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
+Description: This is a package gathering different functions to work with
+    option pricing
 Suggests:
     MASS
-License: LGPL-3
+License: LGPL-3

R/parity.R

@@ -8,7 +8,6 @@
 
 #' 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
@@ -17,15 +16,15 @@
 #' @return Option price
 #' 
 #' @author François Pelletier
-parity <- function(optionvalue,stockprice,strikeprice,eval.time,expiry.time,rate,toPut=TRUE)
+parity <- function(optionvalue,strikeprice,eval.time,expiry.time,rate,toPut=TRUE)
 {
 	if(toPut)
 	{
-		optionvalue-stockprice+strikeprice*zerobond(eval.time,expiry.time,rate)
+		optionvalue-1+strikeprice*zerobond(eval.time,expiry.time,rate)
 		
 	}
 	else
 	{
-		stockprice+optionvalue-strikeprice*zerobond(eval.time,expiry.time,rate)
+		1+optionvalue-strikeprice*zerobond(eval.time,expiry.time,rate)
 	}
 }

R/putEpps.R

@@ -0,0 +1,38 @@
+# European put option pricing using characteristic function
+# 
+# Author: Francois Pelletier
+#
+# LGPL 3.0
+###############################################################################
+
+#' European put option pricing using characteristic function 
+#' 
+#' As seen in Epps (2009)
+#' @param char.fn Characteristic function of the price level at expiry time
+#' @param strikeprice Strike price, relative to a unit stock price
+#' @param eval.time Evaluation time
+#' @param expiry.time Expiry time
+#' @param rate Continuously compounded interest rate (force of interest)
+#' @param ... Parameters of the characteristic function
+#' @param int.bounds Integration bounds for the integrate() method used. Defaults to infinite bounds.
+#' @return European put option price
+#' 
+#' @author Francois Pelletier
+putEpps <- function(char.fn,strikeprice,eval.time,expiry.time,rate,...,int.bounds=c(-Inf,Inf))
+{
+  # function to integrate (zhi)
+  zhi <- function(x,char.fn,strikeprice,eval.time,expiry.time,rate,...)
+  {
+    Re(strikeprice^{-1i*x} * 
+         char.fn(x,strikeprice,eval.time,expiry.time,rate,...) / 
+         (x*(1i+x)))
+  }
+  # function to integrate with strike price as first parameter
+  integrate.K <- function(strikeprice,zhi,int.bounds,eval.time,expiry.time,rate,...)
+  {
+    exp(-rate*(expiry.time-eval.time)) * 
+      strikeprice * 
+      (.5 - integrate(zhi,int.bounds[1],int.bounds[2],strikeprice,eval.time,expiry.time,rate,...)$value / (2*pi))
+  }
+  mclapply(as.vector(strikeprice),integrate.K,zhi,int.bounds,eval.time,expiry.time,rate,...)
+}

man/parity.Rd

@@ -0,0 +1,30 @@
+\name{parity}
+\alias{parity}
+\title{Put-Call Parity}
+\usage{
+parity(optionvalue, strikeprice, eval.time, expiry.time, rate, toPut = TRUE)
+}
+\arguments{
+  \item{optionvalue}{Option price}
+
+  \item{strikeprice}{Strike price}
+
+  \item{eval.time}{Evaluation time}
+
+  \item{expiry.time}{Expiry time}
+
+  \item{rate}{Continuously compounded interest rate (force
+  of interest)}
+
+  \item{toPut}{Boolean, Call to Put or Put to Call ?}
+}
+\value{
+Option price
+}
+\description{
+Put-Call Parity
+}
+\author{
+François Pelletier
+}
+

man/putEpps.Rd

@@ -0,0 +1,36 @@
+\name{putEpps}
+\alias{putEpps}
+\title{European put option pricing using characteristic function}
+\usage{
+putEpps(char.fn, strikeprice, eval.time, expiry.time, rate, ...,
+  int.bounds = c(-Inf, Inf))
+}
+\arguments{
+  \item{char.fn}{Characteristic function of the price level
+  at expiry time}
+
+  \item{strikeprice}{Strike price, relative to a unit stock
+  price}
+
+  \item{eval.time}{Evaluation time}
+
+  \item{expiry.time}{Expiry time}
+
+  \item{rate}{Continuously compounded interest rate (force
+  of interest)}
+
+  \item{...}{Parameters of the characteristic function}
+
+  \item{int.bounds}{Integration bounds for the integrate()
+  method used. Defaults to infinite bounds.}
+}
+\value{
+European put option price
+}
+\description{
+As seen in Epps (2009)
+}
+\author{
+Francois Pelletier
+}
+

man/zerobond.Rd

@@ -0,0 +1,30 @@
+\name{zerobond}
+\alias{zerobond}
+\title{zerobond}
+\usage{
+zerobond(eval.time, expiry.time, rate, face = 1)
+}
+\arguments{
+  \item{eval.time}{Evaluation time}
+
+  \item{expiry.time}{Expiry time}
+
+  \item{rate}{Continuously compounded interest rate (force
+  of interest)}
+
+  \item{face}{Face value}
+}
+\value{
+Actualised price of bond
+}
+\description{
+Evaluate the price of a zero coupon bond
+}
+\details{
+Evaluates the actualised price of a bond using interest
+rate and face value
+}
+\author{
+François Pelletier
+}
+