1 files changed, 20 insertions, 0 deletions
diff --git a/R/test_options.R b/R/test_options.R
index 5b8ab782..ef90c1f0 100644
--- a/R/test_options.R
+++ b/R/test_options.R
@@ -38,3 +38,23 @@ for(i in seq_along(exerciseDates)){
     fp <- c(fp, defaultAdjustedForwardIndexPrice(newindex, exerciseDates[i]))
     fp2 <- c(fp2, forwardflatcds(h, index$cs, tradedate, exerciseDates[i], fixedRate=0.05, R=0.3))
 }
+
+calib <- function(S0, index, fp, exerciseDate, sigma, quad){
+    T <- yearFrac(index$tradedate, exerciseDate)
+    S <- S0 * exp(-sigma^2/2*T+sigma*quad$Z*sqrt(T))
+    guess <- crossprod(quad$w, unlist(lapply(S, function(S){
+        snacpv(index$cs, S, index$quotes$refspread, index$recovery, exerciseDate)})))
+    return( guess - fp )
+}
+
+option <- function(index, fp, exerciseDate, sigma, strike, quad){
+    T <- yearFrac(index$tradedate, exerciseDate)
+    S0 <- uniroot(calib, interval=c(0.02, 0.05), index, fp, exerciseDate, sigma, quad)$root
+    S <- S0 * exp(-sigma^2/2*T+sigma*quad$Z*sqrt(T))
+    v <- matrix(0, length(S), 2)
+    for(i in 1:length(S)){
+        fw <- snacpv(index$cs, S[i], index$quotes$refspread, index$recovery, exerciseDate)
+        v[i,] <-c(max(fw-strike, 0), max(strike-fw, 0))
+    }
+    return(crossprod(quad$w, v))
+}