panelSmoother: TPS-based smoother for option panels

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

Description

Given a list of option panels, estimates a generalized additive model that can be used for inter- and extrapolation

Usage

panelSmoother(option.panels, mkt.frame, gam.bs = "ds", gam.m = c(1, 0.5),
  ...)

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.
...	further arguments to the smooth construct in gam
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

A mgcv::gam object, interpolating model.

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