optionData: Option Data

In enricoschumann/NMOF: Numerical Methods and Optimization in Finance

Option Data

Description

Closing prices of DAX index options as of 2012-02-10.

Usage

optionData

Format

optionData is a list with six components:

pricesCall

a matrix of size 124 times 10. The rows are the strikes; each column belongs to one expiry date.

pricesPut

a matrix of size 124 times 10

index

The DAX index (spot).

future

The available future settlement prices.

Euribor

Euribor rates.

NSSpar

Paramaters for German government bond yields, as estimated by the Bundesbank.

Details

Settlement prices for EUREX options are computed at 17:30, Frankfurt Time, even though trading continues until 22:00.

Source

The data was obtained from several websites: close prices of EUREX products were collected from https://www.eurex.com/ex-en/ ; Euribor rates and the parameters of the Nelson-Siegel-Svensson can be found at https://www.bundesbank.de/en/ .

References

Gilli, M., Maringer, D. and Schumann, E. (2019) Numerical Methods and Optimization in Finance. 2nd edition. Elsevier. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/C2017-0-01621-X")}

Schumann, E. (2023) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual

Examples

str(optionData)
NSS(optionData$NSSpar, 1:10)

enricoschumann/NMOF documentation built on April 13, 2024, 12:16 p.m.