volskew: Volatility Skew Visualization

Description Usage Arguments Value Examples

View source: R/volskew.R

Description

Creates a 3D Plot of the Volatility Skew

Usage

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volskew(symbol, type = "call", spot = "current", r = 0.02,
  ll = 0.9, ul = 1.1, days_out = 50, d1 = 0, d2 = 0, d3 = 0,
  d4 = 0, d5 = 0)

Arguments

symbol

Ticker symbol for a publicly traded company

type

"call" or "put" option volatility skew

spot

This is the current price of the stock, if blank it defaults to the previous adjusted close

r

risk-free rate, annualized and continuously-compounded

ll

lower limit, set to 0.90

ul

upper limit, set to 1.10

days_out

keep at 50

d1

dividend yield

d2

dividend yield

d3

dividend yield

d4

dividend yield

d5

dividend yield

Value

Plots a 3d Graph in the Viewer tab

Examples

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volskew("^SPX", type = "call")

visualR documentation built on Aug. 21, 2019, 1:05 a.m.