optionData: Option Data
In NMOF: Numerical Methods and Optimization in Finance

Description Usage Format Details Source References Examples

Closing prices of DAX index options as of 2012-02-10.

1	data(optionData)

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