Question

我在R中安装了一个名为fExoticOptions

的软件包

使用该软件包中的函数，我发现S的值（现货价格）的StandardBarrierOption值为90到110

> S = 90:110
> S
 [1]  90  91  92  93  94  95  96  97  98  99 100 101 102 103 104 105 106 107 108 109 110

这就是我得到的......但是我无法使用

制作图表

plot(Value, S)

据我所知，Value和S的长度不同。值的长度为1，而S的长度为20.

如何解决此问题以制作值与S的图表

library(fExoticOptions)
Value <- StandardBarrierOption ('cuo', S, 0, 120, 90, 1, 0.01, 0.02, 0.1, title = NULL, description = NULL)


> plot(Value, S)
Error in xy.coords(x, y, xlabel, ylabel, log) : 
   'x' and 'y' lengths differ

> Value

Title:
 Standard Barrier Option 

Call:
 StandardBarrierOption(TypeFlag = "cuo", S = 90:120, X = 0, H = 120, 
 K = 90, Time = 1, r = 0.01, b = 0.02, sigma = 0.1, title = NULL, 
 description = NULL)

    Parameters:
          Value:
 TypeFlag cuo   
 S1       90    
 S2       91    
 S3       92    
 S4       93    
 S5       94    
 S6       95    
 S7       96    
 S8       97    
 S9       98    
 S10      99    
 S11      100   
 S12      101   
 S13      102   
 S14      103   
 S15      104   
 S16      105   
 S17      106   
 S18      107   
 S19      108   
 S20      109   
 S21      110   
 S22      111   
 S23      112   
 S24      113   
 S25      114   
 S26      115   
 S27      116   
 S28      117   
 S29      118   
 S30      119   
 S31      120   
 X        0     
 H        120   
 K        90    
 Time     1     
 r        0.01  
 b        0.02  
 sigma    0.1  



Option Price:
 90.72108 91.6598 92.57593 93.46411 94.31832 95.13186 95.89745 96.60739 97.25371 97.82838 98.32356 98.73186 99.0466 99.26214 99.37406 99.37948 99.2772 99.06784 98.75399 98.34013 97.83269 97.23984 96.57139 95.83852 95.05354 94.22956 93.38018 92.51917 91.66016 90.8163 90

Answer 1

我宁愿使用循环或lapply / sapply函数。给定每次迭代，我将存储价格，最后绘制期权价格与现货价格。

S_seq <- 80:120
Value_f <- function(S) StandardBarrierOption ('cuo', S, 0, 120, 90, 1, 0.01, 
0.02, 0.1, title = NULL, description = NULL)
Value_seq <- lapply(S_seq,Value_f) 
Value_seq <- sapply(Value_seq, function(x) x@price)
plot(Value_seq~S_seq,pch = 20)
lines(predict(loess(Value_seq~S_seq))~S_seq,col = 2)

使用fExoticOptions包绘制图形

1 个答案: