optionPanelInterpolate: Fit a smooth IV surface to all available options and return...

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

Description

Fit a smooth IV surface to all available options and return option prices for given maturities and strike ranges that depend on maturity and IV.

Usage

optionPanelInterpolate(option.panels, mkt.frame, out.mat, doPlot = FALSE,
  doFitPlot = 0, verbose = FALSE)

Arguments

option.panels	A list, each element containing a dataframe with normalized mid OTM option prices and LOG strikes. Each panel should correspond to the SAME day.
out.mat	Sx2 matrix, where first column specifies target maturities and the second specifies the number of options available at each maturity (for now they have to be equal)
doPlot	Whether fitted / true values should be plotted
verbose	Do we want diagnostic information?
mkt.list	A data-frame, where each row corresponds to the market features associated with the n-th option panel (e.g. maturity, interest rate, etc...)

Value

out.panels list with fields p.list – a list of option panels, m.list – a list of corresponding market structures.

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