December 2013
Beginner to intermediate
286 pages
5h 46m
English
Content preview from F# for Quantitative Finance
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Plotting payoff diagrams with FSharpCharts
In this section, we'll construct basic payoff diagrams for European call and put options. Payoff diagrams are useful to visualize the theoretical payoff given the price of the stock and the strike of the option.
The payoff function for a call option is defined as follows:
And the payoff function for a put option is defined as follows:
Let's look at how to do this in F#. We start by defining the payoff functions for calls and puts:
/// Payoff for European call option // s: stock price // k: strike price of option ...
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