This is a convenience function for calibrating variance cumulation (the
at-the-money volatility of the continuous process) and equity linked default
intensity of the form $h(s + (1-s)(S0/S_t)^p)$, using a data.frame of
option market data.
fit_to_option_market_df(
S0 = ragtop::TSLAMarket$S0,
discount_factor_fcn = spot_to_df_fcn(ragtop::TSLAMarket$risk_free_rates),
options_df = ragtop::TSLAMarket$options,
min_maturity = 1/12,
min_moneyness = 0.8,
max_moneyness = 1.2,
base_default_intensity = 0.05
)Current underlying price
A function for computing present values to
time t of various cashflows occurring during this timestep, with
arguments T, t
A data frame of American option details. It should
have columns callput, K, time,
mid, bid, and ask,
Minimum option maturity to allow in calibration
Maximum option strike as a proportion of S0 to allow in calibration
Maximum option strike as a proportion of S0 to allow in calibration
Overall default intensity (in natural units)
fit_to_option_market the underlying fit algorithm
Other Equity Dependent Default Intensity:
find_present_value(),
fit_variance_cumulation(),
form_present_value_grid(),
implied_jump_process_volatility()