CBOE_VIX_index: Calculates the linear VIX interpolation and returns the...

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

Calculates the linear VIX interpolation and returns the annualised VIX index in percentage points

Description

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Following the VIX whitepaper, the VIX index is calculated as a linear interpolation. This function uses the following formula: \mjsdeqn\sigma_VIX = 100 \sqrt \big( \omega T_1 \sigma_1^2 + (1- \omega) T_2 \sigma_2^2 \big) \frac525,60043,200 where the subscripts \mjseqn1 and \mjseqn2 indicate the near-and next-term options, \mjseqnT_\cdot to the time to expiration in years and the \mjseqn\omega to the linear interpolation weights.

Usage

CBOE_VIX_index(maturity, sigma_sq)

Arguments

maturity	numeric vector of length two giving the time to maturity of the "near-term" and "next-term" options in years (\mjseqnT_1 and \mjseqnT_2 respectively)
sigma_sq	numeric vector of length two giving the CBOE model-free implied volatility of the "near-term" and "next-term" options(\mjseqn\sigma^2_1 and \mjseqn\sigma^2_2 respectively). Also see CBOE_sigma_sq

Value

Returns a numeric scalar giving the VIX index value

Examples

library(R.MFIV)

CBOE_VIX_index(maturity = c(0.074, 0.09),
               sigma_sq = c(0.3, 0.5))

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