impliedDivergencesWrapper: Implied divergences from option DB file

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

Description

This function takes a data.frame of option data and at each date builds the spline IV surface, based on that estimates prices of divergence, skewness and quarticity swaps

Usage

impliedDivergencesWrapper(options, pow.vec, t.vec, types, filtering.expression,
  cl = cl, U = NULL, L = NULL, gam.bs = "ds", gam.m = c(1, 0.5),
  bootstrap = F, Nrepl = 1000)

Arguments

options	data.frame with fields date, k (log(relative strike with respect to underlying)), relMid (relative mid-price with respect to underlying), r (interest rate), q (implied dividend yield), k_stand (k divided by atmIV and sqrt(expiration))
pow.vec	vector of divergence powers
t.vec	vector of maturities
types	vector of characters, length up to 3, can contain "div", "skew" and "quart"
filtering.expression	quoted expression to be passed to filter_, to select all options take something that evaluates to TRUE, like quote(TRUE), to select options by strike, for example quote(k_stand <= 3 & k_stand >= -6)
cl	cluster for parallel calculations
U	upper integration limit for pricing in terms of log-strike. U > 0
L	lower integration limit for pricing in terms of log-strike. L < 0
gam.bs	bs argument to s
gam.m	m argument to s
bootstrap	boolean argument to tpsImpliedDivergence
Nrepl	integer argument to tpsImpliedDivergence

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