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The function
arbitrage
calculates an arbitrage table considering
puts and calls with the same strike price. It is simply started
by typing
arbitrage()in the command line of XploRe. After starting arbitrage the following window will appear:
Here you are asked to put in your given data -- Days to maturity, Interest rate, Stock price, Lowest basis price, Highest basis price and the Number of steps.
After pushing the OK button you can first put in the call prices and right afterwards the put prices:
As a result XploRe presents you the following table of arbitrage in the output window, where
[ 1,] Stock price: 587.30 [ 2,] Interest rate: 0.0302 [ 3,] Days to maturity: 17.00 [ 4,] [ 5,] Call_price Put_price Basis Stock_flow Call_flow Put_flow Bank_flow Arbitrage [ 6,] -------------------------------------------------------------------------------- [ 7,] 3.00 15.90 575.00 587.30 -3.00 15.90 -574.18 26.02 [ 8,] 3.00 15.90 600.00 587.30 -3.00 15.90 -599.15 1.05 [ 9,] 3.00 15.90 625.00 587.30 -3.00 15.90 -624.11 -23.91 [10,]
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The function
callbull
calculates the results of a Bull-Call Spread for
the context of option pricing. It is simply started by typing
callbull()in the command line of XploRe. After starting callbull() the following window will appear:
After putting in all the basic data required just push the OK button. XploRe will calculate the results and present them in the XploRe output window in the following way:
[ 1,] [ 2,] Stock price long Call short Call gain/loss [ 3,] ---------------------------------------------------- [ 4,] 540.00 -3500.00 1500.00 -2000.00 [ 5,] 550.00 -3500.00 1500.00 -2000.00 [ 6,] 560.00 -2500.00 1500.00 -1000.00 [ 7,] 570.00 -1500.00 1500.00 0.00 [ 8,] 580.00 -500.00 1500.00 1000.00 [ 9,] 590.00 500.00 1500.00 2000.00 [10,] 600.00 1500.00 1500.00 3000.00 [11,]
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MD*TECH Method and Data Technologies |
http://www.mdtech.de mdtech@mdtech.de |