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### R code from vignette source 'vix.Rnw'
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### code chunk number 1: vix.Rnw:67-69
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# Set the globals options for the R environment.
options(width = 60, str = strOptions(strict.width = "cut"))
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### code chunk number 2: vix.Rnw:309-321
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library(ifrogs)
data(vxo_spx)
str(vxo_spx)
vxo(maturity=vxo_spx$maturity,
riskfree=vxo_spx$riskfree,
carry=vxo_spx$riskfree,
type=vxo_spx$type,
strike=vxo_spx$strike,
underlying=vxo_spx$underlying,
bid=vxo_spx$bid,
ask=vxo_spx$ask)
###################################################
### code chunk number 3: vix.Rnw:326-337
###################################################
data(vxo_nifty)
str(vxo_nifty)
vxo(maturity=vxo_nifty$maturity,
riskfree=vxo_nifty$riskfree,
carry=vxo_nifty$riskfree,
type=vxo_nifty$type,
strike=vxo_nifty$strike,
underlying=vxo_nifty$underlying,
bid=vxo_nifty$bid,
ask=vxo_nifty$ask)
###################################################
### code chunk number 4: vix.Rnw:411-415
###################################################
data(vix_spx)
str(vix_spx)
data(vix_nifty)
str(vix_nifty)
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### code chunk number 5: vix.Rnw:420-444
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spx_near <- prep_maturity(maturity=vix_spx$opt_near$maturity[[1]],
riskfree=vix_spx$opt_near$riskfree[[1]],
carry=vix_spx$opt_near$riskfree[[1]],
type=vix_spx$opt_near$type,
strike=vix_spx$opt_near$strike,
underlying=vix_spx$opt_near$underlying,
schemes="vega",
bid=vix_spx$opt_near$bid,
ask=vix_spx$opt_near$ask,
tv_filter=FALSE)
str(spx_near)
spx_next <- prep_maturity(maturity=vix_spx$opt_next$maturity[[1]],
riskfree=vix_spx$opt_next$riskfree[[1]],
carry=vix_spx$opt_next$riskfree[[1]],
type=vix_spx$opt_next$type,
strike=vix_spx$opt_next$strike,
underlying=vix_spx$opt_next$underlying,
schemes="vega",
bid=vix_spx$opt_next$bid,
ask=vix_spx$opt_next$ask,
tv_filter=FALSE)
str(spx_next)
###################################################
### code chunk number 6: vix.Rnw:452-475
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nifty_near <- prep_maturity(maturity=vix_nifty$opt_near$maturity[[1]],
riskfree=vix_nifty$opt_near$riskfree[[1]],
carry=vix_nifty$opt_near$riskfree[[1]],
type=vix_nifty$opt_near$type,
strike=vix_nifty$opt_near$strike,
underlying=vix_nifty$opt_near$underlying,
schemes=c("spread", "elasticity", "vega"),
bid=vix_nifty$opt_near$bid,
ask=vix_nifty$opt_near$ask,
traded_vol=vix_nifty$opt_near$traded_vol,
tv_filter=TRUE)
nifty_next <- prep_maturity(maturity=vix_nifty$opt_next$maturity[[1]],
riskfree=vix_nifty$opt_next$riskfree[[1]],
carry=vix_nifty$opt_next$riskfree[[1]],
type=vix_nifty$opt_next$type,
strike=vix_nifty$opt_next$strike,
underlying=vix_nifty$opt_next$underlying,
schemes=c("spread", "elasticity", "vega"),
bid=vix_nifty$opt_next$bid,
ask=vix_nifty$opt_next$ask,
traded_vol=vix_nifty$opt_next$traded_vol,
tv_filter=TRUE)
###################################################
### code chunk number 7: vix.Rnw:497-500
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spx_near_iv <- weighted_iv(prepped=spx_near)
spx_next_iv <- weighted_iv(prepped=spx_next)
spx_near_iv
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### code chunk number 8: vix.Rnw:505-508
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nifty_near_iv <- weighted_iv(prepped=nifty_near)
nifty_next_iv <- weighted_iv(prepped=nifty_next)
nifty_near_iv
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### code chunk number 9: vix.Rnw:526-531
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spx_vix <- vix_pt(iv_near=spx_near_iv, iv_next=spx_next_iv)
spx_vix
nifty_vixes <- vix_pt(iv_near=nifty_near_iv, iv_next=nifty_next_iv)
nifty_vixes
###################################################
### code chunk number 10: vix.Rnw:566-590
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set.seed(101)
spx_near <- prep_maturity(maturity=vix_spx$opt_near$maturity[[1]],
riskfree=vix_spx$opt_near$riskfree[[1]],
carry=vix_spx$opt_near$riskfree[[1]],
type=vix_spx$opt_near$type,
strike=vix_spx$opt_near$strike,
underlying=vix_spx$opt_near$underlying,
schemes="vega",
bid=vix_spx$opt_near$bid,
ask=vix_spx$opt_near$ask,
traded_vol=NULL,
tv_filter=FALSE)
spx_next <- prep_maturity(maturity=vix_spx$opt_next$maturity[[1]],
riskfree=vix_spx$opt_next$riskfree[[1]],
carry=vix_spx$opt_next$riskfree[[1]],
type=vix_spx$opt_next$type,
strike=vix_spx$opt_next$strike,
underlying=vix_spx$opt_next$underlying,
schemes="vega",
bid=vix_spx$opt_next$bid,
ask=vix_spx$opt_next$ask,
traded_vol=NULL,
tv_filter=FALSE)
###################################################
### code chunk number 11: vix.Rnw:593-599
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spx_ci <- vix_ci(prep_near=spx_near,
prep_next=spx_next,
n_samples=1e3, conf=0.95,
verbose=TRUE)
str(spx_ci)
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### code chunk number 12: vix.Rnw:604-628
###################################################
set.seed(101)
nifty_near <- prep_maturity(maturity=vix_nifty$opt_near$maturity[[1]],
riskfree=vix_nifty$opt_near$riskfree[[1]],
carry=vix_nifty$opt_near$riskfree[[1]],
type=vix_nifty$opt_near$type,
strike=vix_nifty$opt_near$strike,
underlying=vix_nifty$opt_near$underlying,
schemes="vega",
bid=vix_nifty$opt_near$bid,
ask=vix_nifty$opt_near$ask,
traded_vol=vix_nifty$opt_near$traded_vol,
tv_filter=TRUE)
nifty_next <- prep_maturity(maturity=vix_nifty$opt_next$maturity[[1]],
riskfree=vix_nifty$opt_next$riskfree[[1]],
carry=vix_nifty$opt_next$riskfree[[1]],
type=vix_nifty$opt_next$type,
strike=vix_nifty$opt_next$strike,
underlying=vix_nifty$opt_next$underlying,
schemes="vega",
bid=vix_nifty$opt_next$bid,
ask=vix_nifty$opt_next$ask,
traded_vol=vix_nifty$opt_next$traded_vol,
tv_filter=TRUE)
###################################################
### code chunk number 13: vix.Rnw:631-637
###################################################
nifty_ci <- vix_ci(prep_near=nifty_near,
prep_next=nifty_next,
n_samples=1e3, conf=0.95,
verbose=TRUE)
str(nifty_ci)
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