tpsImpliedDivergence: Calculate the implied divergences from option panels

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

Description

Calculate the implied divergences from option panels

Usage

tpsImpliedDivergence(option.panels, mkt.frame, u.t.mat, doPlot = FALSE,
  doFitPlot = 0, verbose = FALSE, L = NULL, U = NULL, bootstrap = F,
  Nrepl = 1000, ...)

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.
u.t.mat	An Nx3 dataframe, consisting of the powers, maturities, and divergence types
verbose	Do we want diagnostic information?
...	further arguments to be passed to panelSmoother and further to rgl::persp3d
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...)
spline.rank	This is the k argument to the function s from package mgcv, it determines the spline basis dimension.
convergence.scale	Scaling of the convergence criterion for the backfitting algorithm, a submodel j is deemed as having converged if the sqrt-sample-size-scaled norm of the iteration change in the predicted values is smaller than convergence.scale * sd(cp - sum(k != j)fk)

Value

An Nx3 dataframe, where the last column is the calculated transform value

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