CBOE_interpolation_terms: Determine the expiration "term" used in the linear...

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

Determine the expiration "term" used in the linear interpolation of the CBOE VIX

Description

Provide either maturity or date_t and date_exp

This function determines the interpolation terms used for the VIX. It provides terms for the two different interpolation techniques used by the CBOE:

• 2003 VIX (monthly): using monthly options (see the 2009 CBOE Whitepaper)

• 2014 VIX (weekly): using weekly options (see the 2019 VIX whitepaper)

Both methods rely on a "near-term" and a "next-term" contract.

Usage

CBOE_interpolation_terms(maturity, date_t, date_exp, method)

Arguments

maturity	numeric scalar giving the time to maturity \mjseqnT in years
date_t	(For the monthly method) date scalar giving the date of the option quotation
date_exp	(For the monthly method) date scalar giving the date of the option expiration
method	A string scalar, either "weekly" or "monthly" for the respective method.

Value

Returns a numeric scalar: 1 for the "near-term" and 2 for the "next-term". If the maturity doesn't fall inside either category, NA is returned.

Examples

library(R.MFIV)

## Weekly method
CBOE_interpolation_terms(25/365, method = "weekly")

## Monthly method
t <- lubridate::ymd("2020-01-02")
exp <- lubridate::ymd("2020-02-21")
CBOE_interpolation_terms(date_t = t, date_exp = exp, method = "monthly")

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