learnfin_ds_3: learnfin Data Set 3

Description Usage Arguments Format

Description

This data set consists of European option contracts of S&P 500. Data set is separated into Training and Prediction sets defined in the t_or_p column. This particular data set consists of contracts from 2009-07-20 to 2010-02-19 with the change point at 2010-01-20 (first date of the prediction data).

Usage

1

Arguments

date

Date of the contract (format: YYYY-MM-DD)

option_symbol

Unique identifier of the option. First three letters (SPX) defines the symbol of the underlying asset. Next 6 digits denote the expiration date (e.g. 080920 - Sep 20, 2008). Next character defines whether the contract is a (C)all or a (P)ut option. Last digits include the strike price.

type

Option type (call or put).

underlying_price

Price of the underlying at the time of the option.

strike_price

Strike price.

moneyness

Moneyness. Relative position of the spot price (S0) to the strike price (K).

maturity

Maturity. Time in trading days to expiration.

market_price

(Closing) Price of the contract determined by the market.

model_price

Price of the contract determined by the pricing model. By default all model prices are determined by a Black-Scholes model that assumes constant continuous risk-free and dividend rates and volatility of standard deviation of the log-returns with 2 years of lookback period.

t_or_p

Whether the contract should be used in the Training set or Prediction set. Training set should be used to train the clusters (in-sample estimation) and Prediction set should be used to get out-of-sample estimates.

rf_rate

Annualized risk free rate in percentage.

dividend_yield

Annualized dividend yield in percentage.

Format

An object of class tbl_df (inherits from tbl, data.frame) with 16041 rows and 12 columns.


learnfin/learnfin documentation built on May 21, 2017, 10:34 a.m.