ecop.term_plot_3x3: Produce 3x3 plot of volatility smiles for a date

Description

This utlity produces 3x3 plot of volatility smiles for a date. It is used for the term structure paper.

Usage

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ecop.term_plot_3x3(term_data, date_str, trim_points = 151,
  target_days = NULL, add.first.day = TRUE, show.put.bid = FALSE)

ecop.term_target_days_default

ecop.term_realized_days(target_days, days)

ecop.term_idx_range(realized_days, days)

Arguments

term_data

term structure data for one date, produced from ecop.term_master_calculator

date_str

character in the form of YYYY-MM-DD

trim_points

integer, specifying number of data points to present in the plots

target_days

list of ceiling days for the plot

add.first.day

logic, whether to add the first expiration date to target_days. Default is TRUE.

show.put.bid

logic, show bid smile for put option. Default is FALSE.

days

list of days to expiration from market data

realized_days

list of days realized for the plot

Format

An object of class numeric of length 8.

Value

The 3x3 plot


Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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