plotImpliedVol: Implied Volatility of Option on Future
In felixsungod/ImpliedVol:

This function allows you to calculate implied volatility of option on future using Fortran subroutine "zeroin".

1	plotImpliedVol(df)

`df`	A dataframe containing 6 columns with specific column names: strick, type, optionPrice, future Price, time_to_expiry, interest_rate.

At the end, a plot and a dataframe of implied volatility will be returned.

1 2	df <- data.frame(strike = c(50, 20),type = c("C", "P"), optionPrice = c(1.62,0.01),futurePrice = c(48.03, 48.03),time_to_expiry = c(0.1423, 0.1423), interest_rate = c(0.01,0.01)) plotImpliedVol(df)

felixsungod/ImpliedVol documentation built on May 16, 2019, 12:48 p.m.

felixsungod/ImpliedVol index

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