DAX: Examples Data from Matlab-IMOMBOX

In Diffform/IMOMBOX: Calculate Bakshi/Kapadia/Madan moments of option implied return distribution

Description

This dataset contains (fictional?) data from DAX put and call options.

This dataset contains (fictional?) data from DAX put and call options.

Usage

DAX

DAX

Format

List containing 7 variables

XC

(numeric) - Strike prices of call options

C

(numeric) - Prices (premium) of call options

XP

(numeric) - Strike prices of put options

P

(numeric) - Prices (premium) of put options

date

(string) - Observation date

maturity

(string) - Maturity date for put and call options

daysToMaturity

(numeric) - Days to maturity for put and call options.

List containing 7 variables

XC

(numeric) - Strike prices of call options

C

(numeric) - Prices (premium) of call options

XP

(numeric) - Strike prices of put options

P

(numeric) - Prices (premium) of put options

date

(string) - Observation date

maturity

(string) - Maturity date for put and call options

daysToMaturity

(numeric) - Days to maturity for put and call options.

Details

32 call and 28 put options

32 call and 28 put options

Source

Matthias Held Matlab IMOMBOX

Matthias Held Matlab IMOMBOX

Examples

DAX
str(DAX)

# plot call premia against call strikes
plot(DAX$XC,DAX$C)



DAX
str(DAX)

# plot call premia against call strikes
plot(DAX$XC,DAX$C)

Diffform/IMOMBOX documentation built on March 22, 2020, 1:18 a.m.