Visualize payoffs of an option strategy

(via an interactive GUI)

Description

Function BUTTERFLY (named after the strategy shown on the screenshot) aims to help students and instructors of finance visualize payoffs of simple option strategies. The function allows constructing a portfolio of n < 9 securities, including a (zero-dividend) stock, a (zero-coupon) bond, a forward contract, and a European call or put stock option, and plots portfolio's terminal payoff, as well as time-T value of cash flows at t = 0,T , i.e. terminal payoff adjusted for (accrued) initial cash flow. Discounting and valuation occur as if in a Black-Scholes world.

• Acknowledgements: This submission has inspired the following:; Devise a bond maturity strategy
• MATLAB release: MATLAB 7.0.1 (R14SP1)

[Robert Barrie]

I meant to give this 5 - it is small but wonderfully neat and elegant... wonderful! Thanks (for all of your submissions)