iGFTinterpolate: Calculate interpolated constant maturity implied GFTs

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

Description

This function takes a list of priceMats and a markets, calculates the impleid GFT-s and then interpolatese/extrapolates them to the required maturities.

Usage

iGFTinterpolate(option.panels, mkt.frame, u.seed, mat.vec, sell.offset = 0,
  time.IV = TRUE, k.shrink = 1, ...)

Arguments

option.panels	A list of Kx2 strike-price matrices
mkt.frame	A data-frame showing the available maturities (corresponding to the day where the panels are observed) and corresponding r and q
u.seed	A seed which is used to scale the frequencies by uSquareRootMat
mat.vec	A vector of maturities where the interpolated gft-s are required.
time.IV	A logical. If TRUE, then implied volatilities are time extrapolated from the thin-plate-spline. Otherwise transforms are calculated for maturities available in the option panels and the transforms are directly extrapolated.
...	Additional arguments passed to impliedGFT
offset	A scalar/vector that specifies if we want to deviate from the square-root frequency calculation rule

Value

Returns an UxT matrix containing the interpolated gft at the scaled frequencies. If in u.seed we request to calculate portfolios for a u such that the power does not exist for too many portfolios (or some other error occurs in the spline() call), the value -998 will be returned.

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