ViewImpliedVol: Process the inequality view, as it appears in A. Meucci,...
In R-Finance/Meucci: Collection of functionality ported from the MATLAB code of Attilio Meucci.
Description
Usage
Arguments
Value
Author(s)
References
Description
Process the inequality view, as it appears in A. Meucci,
"Fully Flexible Views: Theory and Practice", The Risk
Magazine, October 2008, p 100-106.
Usage
1
ViewImpliedVol(X, p)
Arguments
X
: panel of joint factors realizations
p
: vector of probabilities
Value
p_ : vector of posterior probabilities
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com and
Xavier Valls flamejat@gmail.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice"
http://www.symmys.com/node/158 See Meucci script
for "ButterflyTrading/ViewRealizedVol.m"
R-Finance/Meucci documentation built on May 8, 2019, 3:52 a.m.
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Description Usage Arguments Value Author(s) References
Description
Process the inequality view, as it appears in A. Meucci, "Fully Flexible Views: Theory and Practice", The Risk Magazine, October 2008, p 100-106.
Usage
1 | ViewImpliedVol(X, p)
|
Arguments
X |
: panel of joint factors realizations |
p |
: vector of probabilities |
Value
p_ : vector of posterior probabilities
Author(s)
Ram Ahluwalia ram@wingedfootcapital.com and Xavier Valls flamejat@gmail.com
References
A. Meucci, "Fully Flexible Views: Theory and Practice" http://www.symmys.com/node/158 See Meucci script for "ButterflyTrading/ViewRealizedVol.m"
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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