How has the DNT price been evolving during the second quarter of 2014? We have the open-high-low-close type time series with five minute frequency for AUDUSD, so we know all the extreme prices:
d <- read.table("audusd.csv", colClasses = c("character", rep("numeric",5)), sep = ";", header = TRUE) underlying <- as.vector(t(d[, 2:5])) t <- rep( d[,6], each = 4) n <- length(t) option_price <- rep(0, n) for (i in 1:n) { option_price[i] <- dnt1(S = underlying[i], K = 1000000, U = 0.9600, L = 0.9200, sigma = 0.06, T = t[i]/(60*24*365), r = 0.0025, b = -0.0250) } a <- min(option_price) b <- max(option_price) option_price_transformed = (option_price - a) * 0.03 / (b - a) + 0.92 par(mar = c(6, 3, 3, 5)) matplot(cbind(underlying,option_price_transformed), type = "l", lty = 1, col = c("grey", "red"), main = "Price of underlying and DNT", xaxt = "n", yaxt = "n", ylim = c(0.91,0.97), ylab = "", xlab = "Remaining...