getVol: get volatility at a given strike
In prodipta/bsoption: Black-Scholes implementation for equity index options
Description
Usage
Arguments
Value
See Also
Description
Returns the volatility at a given strike. This function is
vectorized.
Usage
1
getVol(vol, atm, strike)
Arguments
vol
Object returned from earlier calibration. Either a quadvol or a
sabrvol object.
atm
ATM forward(s)
strike
Options strike(s)
Value
Black volatility at the given strike
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 at a given strike. This function is vectorized.
Usage
1 | getVol(vol, atm, strike)
|
Arguments
vol |
Object returned from earlier calibration. Either a quadvol or a sabrvol object. |
atm |
ATM forward(s) |
strike |
Options strike(s) |
Value
Black volatility at the given strike
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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