vix_calc: Vix_Calc: Calculating volatility index quotes

In GarvinK/vixr: Replication of intrada VIX quotes

Description

Vix_Calc: Calculating volatility index quotes

Usage

vix_calc(Data, rf_near = 0.002, rf_next = 0.002, nearT = 28, nextT = 35)

Arguments

Data	Dataframe incl. 'QuoteDate' (format:YYYY-MM-DD), 'QuoteTime' (format:hh:mm:ss), 'expiration' (format:YYYY-MM-DD), 'option_type' ('C' for call or 'P' for put), 'bid', 'ask','active_underlaying_price' (S&P 500 spot prices),'underlying symbol' with '^SPX' representing the S&P500 symbol
rf_near	Defining risk free rate for near term
rf_next	Defining risk free rate for next term
nearT	Defining the near term
nextT	Defining the next term

Value

A vector of VIX quptes

See Also

letVixShiny, fitVIX,plotvix

Examples

vix_calc(VIX_SampleData, rf_near = 0.002,rf_next = 0.002, nearT=28, nextT=35) 

GarvinK/vixr documentation built on May 16, 2019, 7:26 a.m.