README.md

In otrenav/implied-volatility-r-package: Compute and Graph Implied Volatilities of European Options

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European Options Implied Volatilities (R Package)

This repository contains code for an R package that contains functions to compute and graph implied volatility for European Options.

• Omar Trejo
• September, 2016

How to use this package

1. Make sure you have devtools installed

install.packages(c("devtools", "roxygen2", "testthat", "knitr"))

Technically roxygen2, testthat, and knitr are only required if you are going to further develop this (or any other) package.

2. Install the package using GitHub

devtools::install_github("otrenav/implied_volatility")

NOTE: if you use yourown repository or fork this one, remember to install from your repository by changing otrenav to user corresponding user name.

3. Load the package in R

library(ImpliedVolatility)

4. Use the functions included in the pacakge

To see the available datasets included in the package (currently only one), execute:

data(package = "ImpliedVolatility")

If you want to use the included European Options dataset, execute:

data(european_options)

You may compute and graph the implied volatilities with:

results <- compute_and_graph_implied_volatilities(european_options)

You may also use the functions directly yourself:

implied_voltility <- compute_implied_volatilities("call", )
results <- append_implied_volatilities(european_options)
graph_implied_volatility(results)

Notes on RStudio

• You can use devtools::document() to build the documentation
• You can use CTRL/CMD + SHIFT + B in RStudio to build the package

If you want to re-build documentation everytime you build the package adjust your settings inside RStudio as follows:

1. Click on menu: "Build" / "Configure Build Tools"
2. Activate "Generate documentation with Roxygen"
3. Click on "Configure"
4. Activate "Build & Reload"
5. Save your settings

The previous instructions work fine using:

• RStudio version 0.99.903
• R version 3.2.3

"We are the people we have been waiting for."

otrenav/implied-volatility-r-package documentation built on Dec. 31, 2020, 1:10 a.m.