Displaying 1 result from an estimated 1 matches for "fractionofyear".
2013 Apr 13
0
help on smoothing volatility surface..
...riskFreeRate
= 0.01 ), SIMPLIFY=TRUE)
# subset out itm puts
puts <- subset(puts, delta < -.09 & delta > -.5 )
expiries.formated <- format(as.Date(levels(factor(expiries)), format =
'%y%m%d'), "%B %d, %Y")
fractionofyear.levels <- levels(factor(puts$maturity))
xyz <- with(puts, interp(x=maturity, y=delta*100, z=IV*100,
xo=sort(unique(maturity)), extrap=FALSE ))
with(xyz, persp3d(x,y,z, col=heat.colors(length(z))[rank(z)],
xlab='maturity',
ylab='delta...