Shiny application created as an examination for the seminar Programming with R
Shiny application consists of two distinct subcomponents: Option calculator and VSTOXX Analysis. OptionCalculator can be used to evaluate Black-Scholes price of the option as well as Delta, Gamma, Rho and Vega of the option. User also has the possibility to analyze how a given Greek changes if some market parameters change. Implementation of OptionCalculator mainly relies on class BSworld, which is realized using S3 object system. The component VSTOXX Analysis deals with analysis of VSTOOX index and options on it. Using this part user can take a look at the average value of options accros different strikes and maturities. Also user can obtain structure of implied volatility smiles for a given date as well as structure of option prices. All packages used in application have been collected in the file packages.R. These packages must be installed to run application.
Further information can be found in CurrentShiny.pdf