PlotMeTheGreeks

VisualizationTool for Option Greeks in 3 and 4 dimensions.

Description

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.

Acknowledgements

The author wishes to acknowledge the following in the creation of this submission:
UIGETDATE

• MATLAB release: MATLAB 7.1.0 (R14SP3)

[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).

[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.

[Dmitriy]