bumpVol: bump the level of volatility for scenario analysis
In prodipta/bsoption: Black-Scholes implementation for equity index options
Description
Usage
Arguments
Value
See Also
Description
Returns the volatility with a bumped up ATM vol levels
Usage
1
bumpVol(vol, bump = 0.01)
Arguments
vol
Object returned from earlier calibration. Either a quadvol or a
sabrvol object.
bump
Bump amount. This is added to the ATM vol level
Value
A volatility object of class quadvol or sabrvol
See Also
calibrate for calibration and models
prodipta/bsoption documentation built on May 29, 2019, 2:57 p.m.
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Description Usage Arguments Value See Also
Description
Returns the volatility with a bumped up ATM vol levels
Usage
1 | bumpVol(vol, bump = 0.01)
|
Arguments
vol |
Object returned from earlier calibration. Either a quadvol or a sabrvol object. |
bump |
Bump amount. This is added to the ATM vol level |
Value
A volatility object of class quadvol or sabrvol
See Also
calibrate for calibration and models
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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