CapeTools Option Strategy
http://www.QuantTools.com
In total there are 11 functions present within the CapeTools Option Strategy category of functions.
General Description
Prices a portfolio of option strategies on equity type underlyers (using the traditional black-scholes model). Possible option strategies are :
- Bull Call Spread
- Bull Put Spread
- Bear Call Spread
- Bear Put Spread
- Call Back Spread
- Put Back Spread
- Call Ratio Vertical Spread
- Put Ratio Vertical Spread
- Straddle
- Ratio Straddle
- Strangle
- Ratio Strangle
- Butterfly
- Xmas Tree
- Condor
Each row within the portfolio represents one strategy and when priced, you can request the price for the total portfolio, the price of each trade. In addition you can request detailed information for each trade.
Function list.
- StrgyBackSpread - Creates a portfolio of BACKSPREAD option strategies.
- StrgyBearBull - Creates a portfolio of BEAR/BULL spread option strategies.
- StrgyBfly - Creates a portfolio of BUTTERFLY option strategies.
- StrgyCallPut - Creates a portfolio of call or put options given a portfolio of equities.
- StrgyCondor - Creates a portfolio of CONDOR options strategies given a portfolio of equities.
- StrgyIronBfly - Creates a portfolio of IRON BUTTERFLY option strategies.
- StrgyRatioVSpread - Creates a portfolio of RATIO VERTICAL SPREAD option strategies.
- StrgyStraddle - Creates a portfolio of STRADDLE option strategies.
- StrgyStrangle - Creates a portfolio of STRANGLE option strategies.
- StrgyTimeSpread - Creates a portfolio of TIME SPREAD option strategies.
- StrgyXmasTree - Creates a portfolio of XMAS TREE options strategies given a portfolio of equities.
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