OptionPricingStuff/R/putcallparity.R
2014-03-05 21:52:41 -05:00

30 lines
782 B
R

# Put-Call Parity
#
# Author: Francois Pelletier
#
# LGPL 3.0
###############################################################################
#' Put-Call Parity
#' @param optionvalue Option 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
#' @export putcallparity
#' @author François Pelletier
putcallparity <- function(optionvalue,strikeprice,eval.time,expiry.time,rate,toPut=TRUE)
{
if(toPut)
{
return(optionvalue-1+strikeprice*zerobond(eval.time,expiry.time,rate))
}
else
{
return(1+optionvalue-strikeprice*zerobond(eval.time,expiry.time,rate))
}
}