bugfix

ahudde · Sep 4, 2023 · 724b3e8 · 724b3e8
1 parent b820a0b
commit 724b3e8
Showing 1 changed file with 16 additions and 8 deletions.
diff --git a/R/BS_European_Greeks.R b/R/BS_European_Greeks.R
@@ -94,6 +94,14 @@ BS_European_Greeks <-
           -initial_price * time_to_maturity *
           exp_minus_dividend_yield_times_time_to_maturity * pnorm_d1
       }
+      if ("lambda" %in% greek) {
+        result['lambda'] <-
+          initial_price *
+          (exp_minus_dividend_yield_times_time_to_maturity * pnorm_d1) /
+          (initial_price * exp_minus_dividend_yield_times_time_to_maturity
+           * pnorm_d1 - exp_minus_r_times_time_to_maturity * exercise_price *
+             pnorm_d2)
+      }
 
       ## second-order Greeks
 
@@ -150,6 +158,14 @@ BS_European_Greeks <-
           initial_price * time_to_maturity *
           exp_minus_dividend_yield_times_time_to_maturity * pnorm_minus_d1
       }
+      if ("lambda" %in% greek) {
+        result['lambda'] <-
+          -initial_price *
+          (exp_minus_dividend_yield_times_time_to_maturity * pnorm_minus_d1) /
+          (exp_minus_r_times_time_to_maturity * exercise_price *
+             pnorm_minus_d2 - initial_price *
+             exp_minus_dividend_yield_times_time_to_maturity * pnorm_minus_d1)
+      }
 
       # second-order Greeks
 
@@ -175,14 +191,6 @@ BS_European_Greeks <-
           initial_price * exp_minus_dividend_yield_times_time_to_maturity *
           dnorm_d1 * sqrt_time_to_maturity
       }
-      if ("lambda" %in% greek) {
-        result['lambda'] <-
-          initial_price *
-          (exp_minus_dividend_yield_times_time_to_maturity * pnorm_d1) /
-          (initial_price * exp_minus_dividend_yield_times_time_to_maturity
-           * pnorm_d1 - exp_minus_r_times_time_to_maturity * exercise_price *
-             pnorm_d2)
-      }
 
       ## second-order Greeks