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PlotMeTheGreeks

version 1.0.0.0 (18 KB) by Yazann Romahi
VisualizationTool for Option Greeks in 3 and 4 dimensions.

1 Download

Updated 23 Mar 2006

No License

A useful tool built to help the user gain an intuitive feel for option pricing and the greeks.

Allows the user to create a portfolio of options (and thus straddles, strangles, butterflies and anything else you fancy can be easily created using the GUI).

Once this is done, the user can plot the option price, delta, gamma, vega and variance vega in 3D and examine how they vary with time to maturity, volatility, interest rates and carry.

It also allows you to perturb a 4th dimension also allowing you to create an animation.

Type PlotMeTheGreeks() on the matlab command line to start the GUI.

Cite As

Yazann Romahi (2020). PlotMeTheGreeks (https://www.mathworks.com/matlabcentral/fileexchange/10428-plotmethegreeks), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (3)

Dmitriy

prashant kulkarni

Can't get it to run. Keep getting this error that the variable 'today' is missing. Is this a defined global variable in SP3? I have not updated from R14.

Nicholas Handley

Useful piece of code. Helps build intuition for greeks. At the moment, it seems FX options specific. Update should perhaps make it applicable to generic options (just a change in the GUI from Foreign Interest Rate to "Carry" would make it applicable across asset class).

Updates

1.0.0.0

correction to typos

MATLAB Release Compatibility
Created with R14SP3
Compatible with any release
Platform Compatibility
Windows macOS Linux