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

In ecd: Elliptic Lambda Distribution and Option Pricing Model

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

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

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