callPayoff <- function(S,E) payoff <- pmax(S-E,0)
BandH <- function(S) {
Call29 <- callPayoff(S,29)
Call32 <- callPayoff(S,32)
21*(Call29 - 1.9) + 21*(-Call32 + 0.6)
}
tomanetrapi <- function(S){
call1<-callPayoff(S,28)
call2<-callPayoff(S,32)
payoff<- 47*call1-41*call2
profit<-payoff-47*2.6+41*0.55
profit
}
GJH <- function(S){
call29<-callPayoff(S,29)
call32<-callPayoff(S,32)
74*(call29 - 1.9 - call32 + 0.55)
}
PaDo <- function(S){
profit <- 48 * (callPayoff(S,28) - callPayoff(S,32) - 2.6 + 0.55)
return(profit)
}
ihnatova_jankechova <- function(S){
call1 <- callPayoff(S,28.0) # 1 ITM , kupa
call2 <- 2*callPayoff(S,31) # 2ATM, predaj
call3 <- callPayoff(S,32) # 1 OTM kupa
payoff <- call1-call2+call3
profit <- payoff-2.60+2*0.85-0.60
profit
}
IgHaFa <- function(S){
call1<-callPayoff(S,28)
call2<-callPayoff(S,28.5)
call3<-callPayoff(S,29)
call4<-callPayoff(S,29.5)
call5<-callPayoff(S,30)
call6<-callPayoff(S,30.5)
call7<-callPayoff(S,31)
call8<-callPayoff(S,31.50)
call9<-callPayoff(S,32)
payoff2 <- 200*call3 - 400*call6 + 200*call9
profit2 <- payoff2 - (200*1.9-400*1+200*0.6)
profit2
}
velmi.kreativny.nick <- function(S){
c28 <- callPayoff(S,28)
c29 <- callPayoff(S,29)
124*(c28 - 2.6) - 124*(c29 - 1.8)
}
KOLIKA <- function(S)
{
ex <- c(28,28.5,29,29.5,30,30.5,31,31.5,32)
bid <- c(2.35,2.05,1.8,1.5,1.2,1,0.85,0.7,0.55)
ask <- c(2.6,2.25,1.9,1.65,1.35,1.15,0.9,0.8,0.6)
d<- length(ex)
k1 <- d
k2 <- 2
p1 <- d-1
p2 <- 3
call1<-callPayoff(S,ex[k1])
call2<-callPayoff(S,ex[p1])
call3<-callPayoff(S,ex[p2])
call4<-callPayoff(S,ex[k2])
285*((call1-ask[k1])+(-call2+bid[p1])+(-call3+bid[p2])+(call4-ask[k2]))
}
Samo.Matus <- function(S)
{
call1<-callPayoff(S,28)
call3<-callPayoff(S,29)
125*(call1-2.6)-125*(call3-1.8)
}
michaela.pestova <- function(S){
call28<-callPayoff(S,28) #ask 2.60 bid 2.35
call28.50<-callPayoff(S,28.50) #ask 2.25 bid 2.05
call29<-callPayoff(S,29) #ask 1.90 bid 1.80
call29.50<-callPayoff(S,29.50) #ask 1.65 bid 1.50
call30<-callPayoff(S,30) #ask 1.35 bid 1.20
call30.50<-callPayoff(S,30.50) #ask 1.15 bid 0.75
call31<-callPayoff(S,31) #ask 0.90 bid 0.85
call31.50<-callPayoff(S,31.50) #ask 0.80 bid 0.70
call32<-callPayoff(S,32) #ask 0.60 bid 0.55
payoff <- 120*(call28-2*call30+call32)
profit1 <- payoff-120*(2.60-2*1.2+0.60)
profit1
}
Sosovicka.Hrdina.Gasper <- function(S) {
call1 <- callPayoff(S,28.5)
call2 <- callPayoff(S,29)
payoff <- 222*call1 - 222*call2
profit <- payoff - 222*2.25 + 222*1.8
profit
}
Strategia777 <- function(S){
call1<-callPayoff(S,28)
call2<-callPayoff(S,28.5)
call3<-callPayoff(S,31.5)
call4<-callPayoff(S,32)
payoff <- 5*call1-5*call2-5*call3+5*call4
profit <- payoff+5*(-2.60)+5*2.05+5*0.70+5*(-0.60)
profit
}
nevajda.machackova <- function(S){
call1 <- callPayoff(S,28.5)
call2 <- callPayoff(S,28)
call3 <- callPayoff(S,31)
call4 <- callPayoff(S,32)
payoff <- -call1-call2+2*call3+2*call4
profit <- payoff+2.05+2.35-2*0.9-2*0.6
profit
}
lama <- function(S){
call1<-callPayoff(S,28)
call2<-callPayoff(S,32)
22*(call1-2.60)-5*(call2-0.55)
}
Scherer <- function(S){
call1<-callPayoff(S,28)
call2<-callPayoff(S,32)
45*(call1-2.60)-45*(call2-0.55)
}
S.final <- 28.16
BandH(S.final)
## [1] -27.3
tomanetrapi(S.final)
## [1] -92.13
PaDo(S.final)
## [1] -90.72
ihnatova_jankechova(S.final)
## [1] -1.34
IgHaFa(S.final)
## [1] -100
velmi.kreativny.nick(S.final)
## [1] -79.36
KOLIKA(S.final)
## [1] -99.75
Samo.Matus(S.final)
## [1] -80
michaela.pestova(S.final)
## [1] -76.8
Sosovicka.Hrdina.Gasper(S.final)
## [1] -99.9
Strategia777(S.final)
## [1] -1.45
nevajda.machackova(S.final)
## [1] 1.24
lama(S.final)
## [1] -50.93
Scherer(S.final)
## [1] -85.05