Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: finance
See also: callbull

Quantlet: arbitrage
Description: calculates an arbitrage table considering put and calls with the same strike price

Usage: sum = arbitrage()
Output:
sum arbitrage table as a string matrix

Example:

library("finance")

sum=arbitrage()

sum

Result:

table of arbitrage, where

Call_price is the vector of call prices

Put_price  is the vector of put prices

Basis      is the vector of basis prices

Stock_flow is the amount we pay/get for buying/selling stock

Call_flow  is the amount we pay/get for buying/selling call option

Put_flow 	 is the amount we pay/get for buying/selling put option

Bank_flow  is the investment to/loan from a bank

Arbitrage  is the vector of arbitrage gains/losses


Library: finance
See also: callbull

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Sperlich, Trost 970507
(C) MD*TECH Method and Data Technologies, 21.9.2000