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farmprice
2006 May 22
1
RQuantlib Array processing applying EuropeanOptionExampleArray
...y(as.numeric(row.names(atm.vols.max)));
atm.work<-merge(atm.vols,atm.vols.max,by.x="date",by.y="row.names",all=TRUE)
#ok get only the vols we need
atm.work<-subset(atm.work,sigma==vol.max);
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],...