Closing prices of DAX index options as of 2012-02-10.
optionData is a list with six components:
a matrix of size 124 times 10. The rows are the strikes; each column belongs to one expiry date.
a matrix of size 124 times 10
The DAX index (spot).
The available future settlement prices.
Paramaters for German government bond yields, as estimated by the Bundesbank.
Settlement prices for EUREX options are computed at 17:30, Frankfurt Time, even though trading continues until 22:00.
The data was obtained from several websites: close prices of EUREX products were collected from www.eurexchange.com ; Euribor rates and the parameters of the Nelson-Siegel-Svensson can be found at www.bundesbank.de
Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626
Schumann, E. (2016) Financial Optimisation with R (NMOF Manual). http://enricoschumann.net/NMOF.htm#NMOFmanual
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