Asked by Locks
on 17 Mar 2013

hi,

I have a matrix consisting of option data, sorted by date in ascending order. For each day there are several optionprice data and I need to find the row in which the data from the equivalents option (same strike, one day less time to maturity) is stored. Here some data:

First row: 1270 1160 1 111.95 0.05205 734506 0.0026425

the first element stands for the future price, the second one for the strike, the one indicates that it's a call option, the fourth element is the call price, the fifth element is the time to maturity, the sixth is the acual data, the seventh the interest rate.

Based on the strike (1160) and time to maturity (0.05205 at day 734506 and 0.05205-0.00274 at day 734507) in need to find the next optiondata row in the matrix.

What is the easiest way to compute the calue of a portfolio consisting of a long position in the underlying (long F) and a short position in the option (short Price call option) for the whole matrix?

Thank you very much for your help!

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