Man pages for m-g-h/R.MFIV
Calculate Model Free Implied Volatility, i.e. the CBOE VIX from Option Quotes
| CBOE_delta_K | Calculate the average strike price distance variable... |
| CBOE_F_0 | Calculate the theoretical at-the-money forward \mjseqnF_0... |
| CBOE_interpolation_terms | Determine the expiration "term" used in the linear... |
| CBOE_K_0 | Calculate the theoretical at-the-money forward \mjseqnK_0... |
| CBOE_option_selection | CBOE Option selection scheme |
| CBOE_sigma_sq | Calculate the CBOE VIX model free variance \mjseqn\sigma^2 |
| CBOE_VIX_index | Calculates the linear VIX interpolation and returns the... |
| CBOE_VIX_vars | Calculate all variables needed for the calculation of the... |
| cmt_dataset | CMT rate date obtained from the US Treasury |
| interpolate_rfr | Calculate risk-free-rates through cubic-spline interpolation... |
| JandT_2007_sigma_sq | Calculate the MFIV according to the Jiang & Tian (2007) paper |
| JandT_2007_smoothing_method | Extend and fill in the option quotes using Jiang & Tian... |
| option_dataset | Example option quote dataset. |
| option_descriptives | Calculate descriptive variables for a nest of option quotes |
| plot_VIX | Create a time-series plot of VIX data |
| result_browser | Shiny applet to browse through figures of the VIX for... |
| R.MFIV | R.MFIV: A package for handling CBOE option-data and... |
| scrape_cmt_data | Scrape the CMT data form the US Treasury website |
| third_fridays | List third fridays in the months of the period given by... |
