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

1
2
3
4
5
6
7
8
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

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.