constMatiGFT: Calculate the implied GFT for a series of option panels,...

In piotrek-orlowski/impliedCF: Implied Characteristic Functions: power-divergence option portfolios. Magic.

Description

This function takes as input a vector of strings corresponding to option panels and then calculates the implied GFT for a given frequency rule. Then the implied GFT is interpolated for fixed maturities.

Usage

constMatiGFT(panels.list, u.seed, fixed.maturities = c(1/12, 6/12), trade.int,
  output.name, doParallel = 2, ...)

Arguments

panels.list	A list version of the option panels, as outputted by panelsToList
u.seed	A vector of frequencies that will be scaled according to a square-root time-to-maturity rule
fixed.maturities	A vector of maturities which represent the option trading strategies
trade.int	A scalar representing the assumed trading time length. This together with the fixed.maturities defines the interpolating maturities.
output.name	The file name where the interpolated igft-s will be saved
doParallel	If integer, specifies the number of cores to be used by starting a cluster with the parallel package. If foreach, an extant parallel backend will be used with the foreach package.
...	further arguments to be passed to iGFTinterpolate and further on to tpsImpliedGFT, panelSmoother and further to rgl::persp3d

piotrek-orlowski/impliedCF documentation built on May 7, 2019, 8:18 a.m.