Displaying 1 result from an estimated 1 matches for "volforcast".
2013 Apr 13
0
help on smoothing volatility surface..
...tion(type,underlying, strike, dividendYield, riskFreeRate,
maturity, volatility,
timeSteps=150, gridPoints=149,
engine="CrankNicolson")$delta
}
# set what symbol you want vol surface for
underlying <- 'GOOG'
# set what your volatility forcast or assumption is
volforcast <- .25
# Get symbols current price
underlying.price <- getQuote(underlying,what=yahooQF("Last Trade (Price
Only)"))$Last
OC <- getOptionChain(underlying, NULL)
#check data
head(OC)
lputs <- lapply(OC, FUN = function(x) x$puts[grep("[A-Z]\\d{6}[CP]\\d{8}$",
rownames(...