29 lines
779 B
R
29 lines
779 B
R
# Put-Call Parity
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#
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# Author: Francois Pelletier
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#
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# LGPL 3.0
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###############################################################################
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#' Put-Call Parity
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#' @param optionvalue Option price
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#' @param strikeprice Strike price
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#' @param eval.time Evaluation time
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#' @param expiry.time Expiry time
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#' @param rate Continuously compounded interest rate (force of interest)
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#' @param toPut Boolean, Call to Put or Put to Call ?
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#' @return Option price
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#' @export putcallparity
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#' @author François Pelletier
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putcallparity <- function(optionvalue,strikeprice,eval.time,expiry.time,rate,toPut=TRUE)
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{
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if(toPut)
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{
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return(optionvalue-1+strikeprice*zerobond(eval.time,expiry.time,rate))
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}
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else
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{
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return(1+optionvalue-strikeprice*zerobond(eval.time,expiry.time,rate))
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}
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}
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