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bsoption

The goal of this R package (bsoption) is to provide a quick platform for pricing index (and currency) exchange traded options. This also include a SABR and quadratic smile volatility calibration method. Also user can extract implied and realized distributions and use a given underlying distribution to price options for relative value analysis.

Installation

You can install bsoption from github with:

# install.packages("devtools")
devtools::install_github("prodipta/bsoption")

Example

This is a basic example which shows you how to calibrate a SABR vol from market prices of options. The dataframe opt_chain is provided with the package:

?opt_chain
sabrVol <- calibrate(opt_chain,as.Date("2017-07-11"),model="sabr")
quadVol <- calibrate(opt_chain,as.Date("2017-07-11"))
k <- seq(90,110,0.5)
vols1 <- getVol(sabrVol,100,k)
vols2 <- getVol(quadVol,100,k)
plot(k,vols1,type="n")
lines(k,vols1,col="red")
lines(k,vols2,col="blue")

Following example shows how to extract implied probability distribution and use that to price an option

voldist <- impliedDistribution(sabrVol)
plot(voldist$k,voldist$p,type="n")
lines(voldist$k,voldist$p,col="blue")
distributionPricer(100,101,voldist,type="call")

Following example shows how to exatract implied volatility and use the main pricing function to price options. These functions can handle fractional day pricing (the date argument should be in POSIX format in YYYY:MM:DD HH:MM).

vol <- bsImpliedVol(as.Date("2017-07-13"),9879.55,10000,as.Date("2017-07-27"),25.40,type="call")
bsPlainVanillaOption(as.Date("2017-07-13"),9879.55,10000,as.Date("2017-07-27"),vol ,type="call")