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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],...