runfiles/test.noArb.R
In piotrek-orlowski/impliedCF: Implied Characteristic Functions: power-divergence option portfolios. Magic.
#' Test the no-arbitrage filter based on quantile regression
rm(list=ls())
load("D://optionPanels_2013.RData")
# set day
i <- 14630
plot(optionPanelsOTM[[i]]$k,optionPanelsOTM[[i]]$relMid)
option.noarb <- noArbPrices(optionPanelsOTM[[i]])
lines(option.noarb$k,option.noarb$relMid)
plot(option.noarb$k,option.noarb$relMid/optionPanelsOTM[[i]]$relMid-1,type="l")
piotrek-orlowski/impliedCF documentation built on May 7, 2019, 8:18 a.m.
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#' Test the no-arbitrage filter based on quantile regression
rm(list=ls())
load("D://optionPanels_2013.RData")
# set day
i <- 14630
plot(optionPanelsOTM[[i]]$k,optionPanelsOTM[[i]]$relMid)
option.noarb <- noArbPrices(optionPanelsOTM[[i]])
lines(option.noarb$k,option.noarb$relMid)
plot(option.noarb$k,option.noarb$relMid/optionPanelsOTM[[i]]$relMid-1,type="l")
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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