ecop.term_master_calculator: Master calculator for all the analytics of volatility smiles...

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Master calculator for all the analytics of volatility smiles required for a date

Description

This is all-in-one calculator. The inputs are symbol, date (YYYY-MM-DD), and quartic config file location, and the optional external data directory. The data structure and documentation here are really rough. They are used to calcuate teh data needed for the quartic paper. They need to be polished and refined after the quartic paper is released.

Usage

ecop.term_master_calculator(
  symbol,
  date_str,
  int_rate = 0,
  div_yield = 0,
  config_file = NULL,
  extdata_dir = NULL
)

ecop.smile_data_calculator(idx, df_day, master, int_rate, div_yield, otype)

ecop.term_atm(opt)

Arguments

symbol	character pointing to the standard option data file
date_str	character in the form of YYYY-MM-DD
int_rate	numeric, the interest rate used to calculate BS implied volatility from market data
div_yield	numeric, the vididend yield used to calculate BS implied volatility from market data
config_file	character, config file from the quarter optimx fit
extdata_dir	character, external data directory
idx	integer, indicating the index of the option chain
df_day	data frame for the day
master	the list structure from the output of ecop.term_master_calculator
otype	character, option type of p or c
opt	the list structure from the output of ecop.smile_data_calculator

Value

The nested list containing all analytics of volatility smiles for a date. The first level keys are the date strings. The first level attributes are quartic.config which is a data frame, lists of days, volumes, classes, and values of undl_price, max_idx.

ecd documentation built on May 10, 2022, 1:07 a.m.