vixfut: VIX index and VIX FUTURES pricing

In piotrek-orlowski/divergenceModelR: Divergence pricing and divergence-based affine model estimation

Description

Calculate the VIX index and the price of VIX futures contracts with arbitrary maturities in affine jump diffusion models.

Usage

priceVIX(v.0, t.vec, params.Q, ...)

priceVIXFUT(v.0, t, tau, params.Q, ...)

Arguments

v.0	initial variance factor value, size S x (N.factors+1) for priceVIX, size 1 x (N.factors+1) for priceVIXFUT.
t.vec	maturity of VIX index, length T.
params.Q	Q measure parameters.
...	arguments to ODE solution routines
t	maturity of futures contract, length 1.
tau	maturity of VIX index, on which the futures are written, length 1.

Details

priceVIX calculates the VIX index for an arbitrary set of starting factor values, dates and maturities. priceVIXFUT only works for a single index time to maturity and a single futures time to maturity. Time to maturity of the index, on which the futures are written, is given net of the futures maturity, i.e. for calculating the price of a futures contract, that matures in 6 months, on the index value between 6 months and 7 months from now, give t = 6/12 and tau = 1/12.

Value

VIX futures value in 1-factor model with v.0 starting values, VIX value

piotrek-orlowski/divergenceModelR documentation built on July 21, 2020, 11:51 a.m.