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## RQuantLib -- R interface to the QuantLib libraries
##
## Copyright (C) 2002 - 2014 Dirk Eddelbuettel <edd@debian.org>
##
## This file is part of RQuantLib.
##
## RQuantLib is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 2 of the License, or
## (at your option) any later version.
##
## RQuantLib is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with RQuantLib. If not, see <http://www.gnu.org/licenses/>.
oldEuropeanOptionArrays <- function(type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility) {
n.underlying <- length(underlying)
n.strike <- length(strike)
n.dividendYield <- length(dividendYield)
n.riskFreeRate <- length(riskFreeRate)
n.maturity <- length(maturity)
n.volatility <- length(volatility)
res <- numeric(n.underlying * n.strike * n.dividendYield * n.riskFreeRate *
n.maturity * n.volatility)
dim(res) <- c(n.underlying, n.strike, n.dividendYield, n.riskFreeRate,
n.maturity, n.volatility)
dimnames(res) <- list(paste("s",underlying,sep="="),
paste("k",strike,sep="="),
paste("y",dividendYield,sep="="),
paste("r",riskFreeRate,sep="="),
paste("t",maturity,sep="="),
paste("v",volatility,sep="="))
value <- delta <- gamma <- vega <- theta <- rho <- divRho <- res
for (s in 1:n.underlying) {
for (k in 1:n.strike) {
for (y in 1:n.dividendYield) {
for (r in 1:n.riskFreeRate) {
for (t in 1:n.maturity) {
for (v in 1:n.volatility) {
val <- europeanOptionEngine(type, underlying, strike,
dividendYield, riskFreeRate,
maturity, volatility)
value[s,k,y,r,t,v] <- val$value
delta[s,k,y,r,t,v] <- val$delta
gamma[s,k,y,r,t,v] <- val$gamma
vega[s,k,y,r,t,v] <- val$vega
theta[s,k,y,r,t,v] <- val$theta
rho[s,k,y,r,t,v] <- val$rho
divRho[s,k,y,r,t,v] <- val$divRho
}
}
}
}
}
}
value <- drop(value)
delta <- drop(delta)
gamma <- drop(gamma)
vega <- drop(vega)
theta <- drop(theta)
rho <- drop(rho)
divRho <- drop(divRho)
invisible(list(value=value, delta=delta, gamma=gamma, vega=vega,
theta=theta, rho=rho, divRho=divRho,
parameters=list(type=type, underlying=underlying,
strike=strike, dividendYield=dividendYield,
riskFreeRate=riskFreeRate, maturity=maturity,
volatility=volatility)))
}
EuropeanOptionArrays <- function(type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility) {
## check that we have two vectors
lv <- c(length(underlying) > 1,
length(strike) > 1,
length(dividendYield) > 1,
length(riskFreeRate) > 1, +
length(maturity) > 1, +
length(volatility) > 1)
if (sum(lv) != 2) {
warning("Need exactly two arguments as vectors")
return(NULL)
}
type <- match.arg(type, c("call", "put"))
## expand parameters
pars <- expand.grid(underlying, strike, dividendYield,
riskFreeRate, maturity, volatility)
nonconst <- which( apply(pars, 2, sd) != 0)
colnames <- c("spot", "strike", "div", "rfrate", "mat", "vol")
val <- europeanOptionArraysEngine(type, as.matrix(pars))
## turn list of vectors in to list of matrices
par1 <- unique(pars[, nonconst[1]])
par2 <- unique(pars[, nonconst[2]])
len1 <- length(par1)
len2 <- length(par2)
ml <- lapply(val, function(x) matrix(x, len1, len2, dimnames=list(par1,par2)))
return(c(ml, parameters=list(type=type, underlying=underlying,
strike=strike, dividendYield=dividendYield,
riskFreeRate=riskFreeRate, maturity=maturity,
volatility=volatility)))
}
plotOptionSurface <- function(EOres, ylabel="", xlabel="", zlabel="", fov=60) {
if (requireNamespace("rgl", quietly=TRUE)) {
axis.col <- "black"
text.col <- axis.col
ylab <- ylabel
xlab <- xlabel
zlab <- zlabel
y <- EOres
## clear scene:
rgl::clear3d()
rgl::clear3d(type="bbox")
rgl::clear3d(type="lights")
## setup env:
rgl::bg3d(color="#DDDDDD")
rgl::light3d()
rgl::rgl.viewpoint(fov=fov)
x <- 1:nrow(y)
z <- 1:ncol(y)
x <- (x-min(x))/(max(x)-min(x))
y <- (y-min(y))/(max(y)-min(y))
z <- (z-min(z))/(max(z)-min(z))
rgl::rgl.surface(x, z, y, alpha=0.6, lit=TRUE, color="blue")
rgl::rgl.lines(c(0,1), c(0,0), c(0,0), col=axis.col)
rgl::rgl.lines(c(0,0), c(0,1), c(0,0), col=axis.col)
rgl::rgl.lines(c(0,0),c(0,0), c(0,1), col=axis.col)
rgl::rgl.texts(1,0,0, xlab, adj=1, col=text.col)
rgl::rgl.texts(0,1,0, ylab, adj=1, col=text.col)
rgl::rgl.texts(0,0,1, zlab, adj=1, col=text.col)
## add grid (credit's to John Fox scatter3d)
xgridind <- round(seq(1, nrow(y), length=25))
zgridind <- round(seq(1, ncol(y), length=25))
rgl::rgl.surface(x[xgridind], z[zgridind], y[xgridind,zgridind],
color="darkgray", alpha=0.5, lit=TRUE,
front="lines", back="lines")
## animate (credit to rgl.viewpoint() example)
start <- proc.time()[3]
while ((i <- 36*(proc.time()[3]-start)) < 360) {
rgl::rgl.viewpoint(i,i/8);
}
} else {
message("Please install the 'rgl' package before using this function.")
}
}
utils::globalVariables(c("clear3d", "bg3d", "ligh3d", "rgl.viewpoint", "rgl.surface", "tgl.texts"))
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