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## RQuantLib Demo for (European) Option surfaces
## Dirk Eddelbuettel, September 2005
## $Id: OptionSurfaces.R,v 1.1 2005/10/12 03:42:45 edd Exp $
OptionSurface <- function(EOres, label, fov=60) {
axis.col <- "black"
text.col <- axis.col
ylab <- label
xlab <- "Underlying"
zlab <- "Volatility"
y <- EOres
## clear scene:
clear3d()
clear3d(type="bbox")
clear3d(type="lights")
## setup env:
## bg3d(color="#887777")
bg3d(color="#DDDDDD")
light3d()
rgl.viewpoint(fov=fov)
##rgl.bg(col="white", fogtype="exp2")
##rgl.bg(col="black", fogtype="exp2")
##rgl.bg(col="black", fogtype="exp")
##rgl.bg(col="white", fogtype="exp")
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.surface(x, z, y, alpha=0.6, lit=TRUE, color="blue")
rgl.lines(c(0,1), c(0,0), c(0,0), col=axis.col)
rgl.lines(c(0,0), c(0,1), c(0,0), col=axis.col)
rgl.lines(c(0,0),c(0,0), c(0,1), col=axis.col)
rgl.texts(1,0,0, xlab, adj=1, col=text.col)
rgl.texts(0,1,0, ylab, adj=1, col=text.col)
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.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.viewpoint(i,i/8);
}
}
RQuantLib.demo.OptionSurfaces <- function() {
und.seq <- seq(10, 200, by = 2.5)
vol.seq <- seq(0.05, 2, by = 0.025)
cat("Calculating surface ...")
EOarr <- EuropeanOptionArrays("call", underlying = und.seq, strike = 100,
dividendYield = 0.01, riskFreeRate = 0.03,
maturity = 1, volatility = vol.seq)
cat(" done.\n")
rgl.open()
OptionSurface(EOarr$value, "Value")
OptionSurface(EOarr$delta, "Delta")
OptionSurface(EOarr$gamma, "Gamma")
OptionSurface(EOarr$vega, "Vega")
OptionSurface(EOarr$theta, "Theta")
}
require(rgl,quiet=TRUE)
require(RQuantLib,quiet=TRUE)
RQuantLib.demo.OptionSurfaces()
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