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option model for interest rate future

2 messages · Robert Sams, James

Original
Robert Sams
# 
Thanks for the reply Sylvain and Brian,

I take it that GBSOption with b=0 is what I'm looking for. However, I'm confused by the results. As an example, let's take the 94.50 put on the Sep 2008 eurodollar contract, expiry 9/15/08. The price is 94.625 and (price) vol is 12.35%. So,
Title:
 Black Scholes Option Valuation 

Call:
 GBSOption(TypeFlag = "p", S = 94.625, X = 94.5, Time = 458/365, 
     r = 0.05507, b = 0, sigma = 0.12382)

Parameters:
          Value:          
 TypeFlag p               
 S        94.625          
 X        94.5            
 Time     1.25479452054795
 r        0.05507         
 b        0               
 sigma    0.12382         

Option Price:
 4.821096 

Description:
 Fri Jun 15 18:58:02 2007
[1] -0.4372786
[1] 0.02827910
[1] 39.34058
[1] -1.675517
[1] -6.049485

But the correct values (using Bloomberg) are:
Price: 0.2215
Delta: -0.426371
Gamma: 0.499401
Vega: 0.022302
Theta: -0.000268
Rho: -0.277807

What am I doing wrong? 

Thank you,
Robert 

-----Original Message-----
From: Sylvain BARTHELEMY [mailto:barth at tac-financial.com] 
Sent: 14 June 2007 18:01
To: Robert Sams; r-sig-finance at stat.math.ethz.ch
Subject: RE: [R-SIG-Finance] option model for interest rate future

Hi Robert,

I think that the fOptions pack does that: GBSGreeks & GBSVolatility


---
Sylvain Barth?l?my
Research Director, TAC
www.tac-financial.com | www.sylbarth.com

-----Message d'origine-----
De?: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] De la part de Robert Sams Envoy??: jeudi 14 juin 2007 17:54 ??: r-sig-finance at stat.math.ethz.ch Objet?: [R-SIG-Finance] option model for interest rate future

Hi,

Does anyone have R code to calculate implied vol and greeks of an option on an interest rate future (e.g., CME's eurodollar contract)?

Thanks,
Robert

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James
# 
Robert,

It seems unusual to me that a nearly at-the-money option with a year  
and a quarter left in it's life would only be worth $0.2215 according  
to Bloomberg.  I would double-check the calculations from Bloomberg.   
To me, they seem most suspect.  I'm wondering if you entered the time  
to expiration incorrectly on Bloomberg, because from the looks of the  
Gamma and Vega, it looks like you might have entered a shorter time.   
I hope this helps.  Let me know if you figure this out.

James
On Jun 15, 2007, at 12:43 PM, Robert Sams wrote: