Description Usage Arguments Format

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 2012-08-06 to 2013-03-01 with the change point at 2013-02-04 (first date of the prediction data).

1 |

`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. |

An object of class `tbl_df`

(inherits from `tbl`

, `data.frame`

) with 17706 rows and 12 columns.

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

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