On Mar 13, 2012, at 4:24 PM, Anna Dunietz wrote:
Hello all!
I would like to create a 3d plot, with the option price explained by
the underlying price and time. Unfortunately, I can't quite get it
to work. I would very much appreciate your help!
The usual problem with lattice calls that you "can't quite get ... to
work" is failure to read the R-FAQ ( or the help(lattice) page) where
it is explained that you need to print() the function result. At the
moment my R-machine is tied up with a long process but try wrapping
print() around that wireframe call.
--
David.
Thanks,
Anna
# Black-Scholes Option Graph
library(lattice)
blackscholes <- function(s, k, r=.1, t=5, sigma=.9,call=TRUE) {
#calculate call/put option
d1 <- (log(s/k)+(r+sigma^2/2)*t)/(sigma*sqrt(t))
d2 <- d1 - sigma * sqrt(t)
ifelse(call==TRUE,s*pnorm(d1) - k*exp(-r*t)*pnorm(d2),k*exp(-r*t)
* pnorm(-d2) - s*pnorm(-d1))
}
plotbs <- function(price){
#create
s<-seq(0,price,len=price/2)
k<-s
t<-0:5
sigma<-seq(0,0.9,by=.1)
#expand information
OptionPrice<-matrix(nrow=length(s),ncol=length(k))
for(i in 1:length(s)) OptionPrice[i,]<-mapply(blackscholes,s[i],k)
grid <- expand.grid(list(Time=t, UnderlyingPrice=s))
#plot
wireframe(OptionPrice~Time*UnderlyingPrice,data=grid,main="3D
Option",
drape=T,col.regions=heat.colors(100),scales =
list(arrows=FALSE),)
}
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David Winsemius, MD
West Hartford, CT
______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
