CODEWITHSUNDEEP
r
screechOwl
screechOwl

Reputation: 28169

R option implied delta calculation

I have some historical option prices and I'm trying to determine an implied delta.

I have the: 

1) strike
2) call/put
3) stock price
4) dividend
5) interest rate
6) option price

I'm having a hard to finding a package/function in R to do so.

I've looked at the fOptions package but there doesn't appear to be anything for figuring implied greeks.

Any suggestions?

Upvotes: 3

Views: 3161

Answers (1)

Vincent Zoonekynd
Vincent Zoonekynd

Reputation: 32391

You can use RQuantLib to compute the implied volatility and then the other greeks.

library(RQuantLib)
value <- 9.15
type  <- "call"
underlying    <- 100
strike        <- 100
dividendYield <- 0
riskFreeRate  <- 0.03
maturity      <- .5

# Compute the implied volatility
volatility <- EuropeanOptionImpliedVolatility(
  type  = type, 
  value = value, 
  underlying = underlying,
  strike     = strike, 
  dividendYield = dividendYield,
  riskFreeRate  = riskFreeRate,
  maturity      = maturity,
  volatility    = .01
)$impliedVol

# Compute all the greeks
EuropeanOption(
  type  = type, 
  underlying = underlying,
  strike     = strike, 
  dividendYield = dividendYield,
  riskFreeRate  = riskFreeRate,
  maturity      = maturity,
  volatility    = volatility
)

# Concise summary of valuation for EuropeanOption 
#   value    delta    gamma     vega    theta      rho   divRho 
#  9.1500   0.5702   0.0185  27.7721  -9.7682  23.9330 -28.5080

Upvotes: 6

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