CBOE_K_0: Calculate the theoretical at-the-money forward \mjseqnK_0...

In m-g-h/R.MFIV: Calculate Model Free Implied Volatility, i.e. the CBOE VIX from Option Quotes

Calculate the theoretical at-the-money forward \mjseqnK_0 from the CBOE VIX calculation. \loadmathjax

Description

Following the VIX whitepaper \mjseqnK_0 is defined as the strike price directly smaller or equal to the theoretical at-the-money forward price \mjseqnF_0

Usage

CBOE_K_0(option_quotes, F_0)

Arguments

option_quotes	A data.table or "nest" of option quotes with three columns: K (numeric) - strike price in ascending order c (numeric) - call option price p (numeric) - put option price
F_0	numeric scalar, giving the theoretical at-the-money forward \mjseqnF_0 (see CBOE_F_0)

Value

Returns a numeric scalar, giving the theoretical at-the-money strike \mjseqnK_0

Examples

library(R.MFIV)

nest <- option_dataset$option_quotes[[1]]

F_0 <- CBOE_F_0(option_quotes = nest,
         R = 0.005,
         maturity = 0.07)

K_0 <- CBOE_K_0(option_quotes = nest,
         F_0 = F_0)

m-g-h/R.MFIV documentation built on July 4, 2022, 3:35 a.m.