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quote <- function(x) {sapply(x, function(x1) {
todaysDate <- Date(15, "May", 1998)
Settings_instance()$setEvaluationDate(d=todaysDate)
settlementDate <- Date(17, "May", 1998)
riskFreeRate <- FlatForward(settlementDate, 0.05, Actual365Fixed())
exercise <- EuropeanExercise(Date(17, "May", 1999))
payoff <- PlainVanillaPayoff("Call", 8.0)
underlying <- SimpleQuote(x1)
volatility <- BlackConstantVol(todaysDate, TARGET(), 0.10, Actual365Fixed())
dividendYield <- FlatForward(settlementDate, 0.05, Actual365Fixed())
process <- BlackScholesMertonProcess(QuoteHandle(underlying),
YieldTermStructureHandle(dividendYield),
YieldTermStructureHandle(riskFreeRate),
BlackVolTermStructureHandle(volatility))
option <- VanillaOption(process, payoff, exercise)
Instrument_setPricingEngine(option, s_arg2=AnalyticEuropeanEngine())
value <- option$NPV()
value
})}
curve(quote,xlim=c(1,20))
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