Description Usage Arguments Details Value Author(s) Examples

Plot a double vertical spread (credit spread)

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`s` |
Spot price of the underlying asset |

`x1` |
Lower-strike put option price (long option) |

`x2` |
Higher-strike put option price (short option) |

`x3` |
Lower-strike call option price (short option) |

`x4` |
Higher-strike call option price (long option) |

`t` |
Time to expiration in years |

`r` |
Annual continuously compounded risk-free rate |

`sigma` |
Annualized implied volatility of the lower-strike put option |

`sigma2` |
Annualized implied volatility of the higher-strike put option |

`sigma3` |
Annualized implied volatility of the lower-strike call option |

`sigma4` |
Annualized implied volatility of the higher-strike call option |

`d` |
Annual continuously compounded risk-free rate |

`ll` |
Lower-limit of the plot, set as (desired price/spot) |

`ul` |
Upper-limit of the plot, set as (desired price/spot) |

`xlab` |
X-Axis Label |

`ylab` |
Y-Axis Label |

`main` |
Title of the plot |

`...` |
Additional plot parameters |

The double vertical spread consists of a credit put spread and a credit debit spread.

Returns a plot of a double vertical spread (credit spread). Black line: The profit(loss) at expiration. Red line: The profit(loss) at (1/2) time "t" ~ half-way to expiration. Blue line: The profit(loss) at inception.

John T. Buynak

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