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: optstart influence

Macro: greeks
Description: calculates and displays the different indices which are used for trading with options, in particular delta (the partial derivative of an option with respect to the price S of the underlying asset), gamma (2 x p .d.w.r.t. price S of underlying asset), eta (delta x S / option price), delta-K (p.d.w.r.t. exercise price K), vega (p.d.w.r.t. the volatility of the asset), theta (p.d.w.r.t. the time to expiration), rho (p.d.w.r.t. the domestic interest rate), rho-b (p.d. w.r.t. the costs of carry (in percent of the value of the underlying object)).

Usage: dat = greeks()
Output:
dat n x m matrix, grid of running inputs and the values of the corresponding options

Example:
library("finance")
dat = greeks()
Result:

Library: finance
See also: optstart influence

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, Klaiber 970721
(C) MD*TECH Method and Data Technologies, 17.8.2000