Displaying 3 results from an estimated 3 matches for "dividendyield".
2013 Apr 13
0
help on smoothing volatility surface..
...ell me whats going on here , what i can do to fix
this.. do i need to smooth each expiration's line then interpolate.... ??
library(RQuantLib)
library(quantmod)
library(rgl)
library(akima)
library(ggplot2)
library(plyr)
GetIV <- function(type, value,
underlying, strike,dividendYield, riskFreeRate, maturity,
volatility,
timeSteps=150, gridPoints=151) {
AmericanOptionImpliedVolatility(type, value,
underlying, strike,dividendYield,
riskFreeRate, maturity, volatility,
timeSteps=150,
grid...
2006 May 22
1
RQuantlib Array processing applying EuropeanOptionExampleArray
...);
atm.work is has 749 rows.
I try and run the EuropeanOption example using atm.work$For_Price as my
array of underlying prices and the other inputs from row 9 of atm.work.
i<-9;
x<-EuropeanOption(type = "put", underlying = atm.work$For_Price, strike
= atm.work$K[i],
dividendYield = atm.work$BEY[i], riskFreeRate =
atm.work$BEY[i], maturity = atm.work$t_exp[i],
volatility = atm.work$sigma[i])
x$parameters has the array of underlying prices but the results is only
a single vector using the first row of atm.work$For_Price. Is this
because I am pulling the input...
2010 Dec 02
1
using foreach (parallel processing)
...;,4), type="SOCK")
registerDoSNOW(cl.tmp)
optData.df <- head(pristine,100000)
system.time(
optData.df$impliedVol <-
foreach(i=1:NROW(optData.df),.packages="RQuantLib") %dopar%
with(optData.df[i,],
tryCatch({EuropeanOptionImpliedVolatility(type,value,underlying,
strike, dividendYield, riskFreeRate, maturity,
volatility)$impliedVol},
error = function (ex){0}))
)
This works fine!
PROBLEM: However, when I do the same but with optData.df <- pristine
... which has about 3.8 million options data ... the cores do not seem
to be fully utilized (they seem to run at 25%).
I notic...