R/vol_term_structure.R

In veldanie/SuraStructuredNotes: Sura Asset Management Structured Products

vol_term_structure <- function(series, days=c(30,180,360,720), days_year=360){
  ls=length(series)
  vol=rep(0,length(days))
  for(i in 1:length(days)){
    di=min(ls,days[i])
    indexi=tail(series,di)
    ret=diff(indexi)/indexi[1:(di-1)]
    vol[i]=sd(ret[ret!=0])*sqrt(days_year)    
  }
  pos_vol=!is.na(vol)
  vol_curve=data.frame(DAYS=days[pos_vol], VOL=vol[pos_vol])
  return(vol_curve)
}