Displaying 3 results from an estimated 3 matches for "impliedvol".
2010 Dec 02
1
using foreach (parallel processing)
...ler dataset
require(snow)
require(doSNOW)
require(foreach)
#change the 8 to however many cores\phys processors you have on your machine
cl.tmp = makeCluster(rep("localhost",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: Howev...
2010 Dec 03
1
intraday zoo
I'm trying to read intraday zoo but running into issues (again) ...
what am I missing here? (the date doesn't seem to read in correctly)
> head(dat)
TrdDate TrdTime impliedVol
1 20090102 09:55:03 0.3610715
2 20090102 09:55:04 0.3637943
3 20090102 09:55:05 0.3752375
4 20090102 09:55:05 0.4190025
5 20090102 09:55:06 0.3696080
6 20090102 09:55:06 0.4944981
> f <- function(x) chron(x[,1],x[,2], format=c(dates="ymd", times="h:m:s"))
> hea...
2013 Apr 13
0
help on smoothing volatility surface..
...... ??
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,
gridPoints=151)$impliedVol
}
GetDelta <- function(type, underlying, strike,
dividendYield, riskF...