testCode.Rmd

---
title: "CodeForC1"
author: "DABAJA"
date: "9/15/2017"
output: pdf_document
---

```{r setup, include=FALSE}
knitr::opts_chunk$set(echo = TRUE)
```

To do: 
- fix the directories and make sure the packages are uploading. 
- doing some online editing - test

Instal packages 
```{r Packages}
#install.packages(c("timeDate","mvtnorm","quadprog","quantreg","rgl","robustbase","scatterplot3d","SparseM","tseries"))
#install.packages("/Users/dawidjarosz/Dropbox/Semester\ 11/Statistical\ Analysis\ of\ Financial\ Data/Class\ 1/Rsafd", repos = NULL, type="source")

library(timeDate)
library(mvtnorm)
library(quadprog)
library(rgl)
library(robustbase)
library(scatterplot3d)
library(SparseM)
library(tseries)
library(Rsafd)
```

Load the data set: Rdata rdb - file with databases he works with in the book. 
```{r}
lazyLoad(filebase = "/Users/dawidjarosz/Dropbox/Semester\ 11/Statistical\ Analysis\ of\ Financial\ Data/Class\ 1/Rsafd/data/Rdata", 
         envir = parent.frame())
```

```{r}
wn <- rnorm(1024)
```
Samuelson 
```{r}
DELTAT <- 1/252
SIG <- .2*sqrt(DELTAT)
MU <- .15*DELTAT
TIME <- (1:1024)/252
STOCK <- rep(0,1024) #repeats a zero for every entry 
```

Model
```{r}
for (i in 1:1024) {
  STOCK[i] <- exp(SIG*RW[i] + MU*TIME[i]) # this is exponential 
}
```

without a loop 

```{r}
STOCK <- exp(SIG*RW + MU*TIME)
```

Plot
```{r}
plot(TIME, STOCK, type="l")
```



```{r}
head(HOWAREYOU)
```

Building function, Black and Scholes - 

```{r}
S <- 100 #stock price 
K <- S 
R <- .4 #per year
SIG <- .2 #annualized vol 

TAU <-90/252  #time to maturity, trading days. 

d1 <- log(S/K) + TAU * (R+SIG^2/2)
d2 <- d1/(SIG*sqrt(TAU))
d2 <- d1 - SIG*sqrt(TAU)
```

Making a BS funciton, pricing a call. 

bs_call <- function() #locally 

fix(bs_call) #for any other script, use it a lot, this is how you'll have access to it later

# the function doesn't work 
```{r}
bs_call <- function(S=100, 
                    K=100,
                    R=.1,
                    SIG=2,
                    TAU=90/252){
  d1 <- log(S/K) + TAU * (R+SIG^2/2)
  d1 <- d1/(SIG*sqrt(TAU))
  d2 <- d1 - SIG*sqrt(TAU)

  c <- s*pnorm(d1) - K*exp(-R*TAU)*pnorm(d2)
  return(c)                  }
```

```{r}
#bs_call(S=109, K=109, R=0.2)
```