Description Usage Format Details Source References Examples
Closing prices of DAX index options as of 2012-02-10.
1 |
optionData
is a list with six components:
pricesCall
a matrix of size 124 times 10. The rows are the strikes; each column belongs to one expiry date.
pricesPut
a matrix of size 124 times 10
index
The DAX index (spot).
future
The available future settlement prices.
Euribor
Euribor rates.
NSSpar
Paramaters for German government bond yields, as estimated by the Bundesbank.
Settlement prices for EUREX options are computed at 17:30, Frankfurt Time, even though trading continues until 22:00.
The data was obtained from several websites: close prices of EUREX products were collected from www.eurexchange.com ; Euribor rates and the parameters of the Nelson-Siegel-Svensson can be found at www.bundesbank.de
Gilli, M., Maringer, D. and Schumann, E. (2011) Numerical Methods and Optimization in Finance. Elsevier. http://www.elsevierdirect.com/product.jsp?isbn=9780123756626
1 2 | str(optionData)
NSS(optionData$NSSpar, 1:10)
|
List of 6
$ pricesCall: num [1:124, 1:10] 6194 NA 5694 NA NA ...
..- attr(*, "dimnames")=List of 2
.. ..$ : chr [1:124] "500" "800" "1000" "1200" ...
.. ..$ : chr [1:10] "201203" "201206" "201209" "201212" ...
$ pricesPut : num [1:124, 1:10] 0.1 NA 0.1 NA NA 0.1 NA NA 0.1 NA ...
..- attr(*, "dimnames")=List of 2
.. ..$ : chr [1:124] "500" "800" "1000" "1200" ...
.. ..$ : chr [1:10] "201203" "201206" "201209" "201212" ...
$ index : num 6693
$ future : Named num [1:3] 6698 6711 6720
..- attr(*, "names")= chr [1:3] "FDAX201203" "FDAX201206" "FDAX201209"
$ Euribor : Named num [1:5] 0.641 1.063 1.365 1.55 1.697
..- attr(*, "names")= chr [1:5] "M1" "M3" "M6" "M9" ...
$ NSSpar : num [1:6] 0.623 -0.465 -24.262 30 4.838 ...
[1] 0.1570695 0.2777219 0.4753450 0.7166231 0.9775378 1.2411548 1.4958956
[8] 1.7341947 1.9514595 2.1452692
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