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geti
2013 Apr 13
0
help on smoothing volatility surface..
...ited quantities of points on the front month
expirations.. can anyone tell 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...