optionstrat (version 1.4.1)

dv: Double Vertical Spread Analytics

Description

Calculates the key analytics of a Double Vertical Credit Spread

Usage

dv(s, x1, x2, x3, x4, t, r, sigma, sigma2 = sigma, sigma3 = sigma,
  sigma4 = sigma, vol = sigma, d = 0)

Arguments

s

Spot price of the underlying asset

x1

Strike price of the lower strike (long) put option

x2

Strike price of the higher strike (short) put option

x3

Strike price of the lower strike (short) call option

x4

Strike price of the higher strike (long) call option

t

Time to expiration in years

r

Annual continuously compounded risk-free rate

sigma

Implied volatility of the lower strike (long) put option (annualized)

sigma2

Implied volatility of the higher strike (short) put option (annualized)

sigma3

Implied volatility of the lower strike (short) call option (annualized)

sigma4

Implied volatility of the higher strike (long) call option (annualized)

vol

Manual over-ride for the volatility of the underlying asset (annualized)

d

Annual continuously compounded dividend yield

Value

Returns a data.frame

Examples

# NOT RUN {
dv(s = 100, x1 = 90, x2 = 95, x3 = 105, x4 = 110, t = 0.08, r = 0.02, sigma = 0.2, vol = 0.3)
# }