saveInterpolatedPanels: 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

saveInterpolatedPanels(panels.list, out.mat, output.name, doParallel = 2,
  lib.dir = "test.lib.dir", ...)

Arguments

panels.list	A list version of the option panels, as outputted by panelsToList
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).
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.
k.shrink	what?!

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