Create a variance cumulation function from a volatility term structure

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Description

Given a volatility term structure, create a corresponding variance cumulation function. The function assumes piecewise constant forward volatility, with the final such forward volatility extending to infinity.

Usage

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Arguments

vols_df

A data.frame with numeric columns time (in increasing order) and volatility (not decreasing so quickly as to give negative forward variance)

Value

A function taking two time arguments, which returns the cumulated variance from the second to the first

Examples

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vc = variance_cumulation_from_vols(
  data.frame(time=c(0.1,2,3),
  volatility=c(0.2,0.5,1.2)))
vc(1.5, 0)

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