data-raw/option_dataset.R

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

## code to prepare `option_dataset` dataset goes here
price_data <- data.table::fread("data-raw/example_pricedata_small.csv")

option_dataset <- price_data[, .(option_quotes = list(.SD)),
                     by = .(ticker, t, exp, price=Price)]
option_dataset[, `:=`(t = lubridate::as_datetime(t),
                      exp = lubridate::as_date(exp))]

usethis::use_data(option_dataset, overwrite = TRUE)