Man pages for igidrfrg/ifrogs
Finance Routines Developed by the Finance Research Group
| create_snapshot | Prepare data for computing impact cost. |
| dtd | Computes distance to default |
| dtd_reliance | Daily data on market capitalization, debt and equity... |
| execute_order | Execute market order and return execution details. |
| ic | Function to compute impact cost. |
| ic_CINEMAX | Limit order book data of Cinemax India Ltd. for 29th October,... |
| is_reliance | Example dataset on the spot and futures prices of RELIANCE |
| lob | A snapshot of the RELIANCE spot limit order book at 11AM on... |
| pdshare | Computes information share & component share weights |
| prep_maturity | Prepares a cross-section of data on options for a maturity to... |
| vix_ci | Computes confidence interval for model-based volatility... |
| vix_nifty | A cross section of Nifty options on 1st September, 2010. |
| vix_pt | Computes point estimates of model-based volatility indexes |
| vix_spx | A cross section of end-of-day SPX options on 17th September,... |
| vxo | Calculates the old CBOE VIX also known as VXO |
| vxo_nifty | A cross section of Nifty options on 1st September, 2010. |
| vxo_spx | A cross section of end-of-day SPX options on 17th September,... |
| weighted_iv | Computes weighted average implied volatility for a maturity |
