ecd (version 0.9.2.4)

ecld.quartic_Qp_atm_attr: Calculate ATM attributes from key quartic parameters

Description

This utility takes a data frame of key quartic parameters, and generates several key ATM attributes. Input fields are: ttm - time to expiration, sigma - term structure of sigma, epsilon_ratio - term structure of epsilon/sigma, mu_plus_ratio - term structure of (mu_p-mu_D)/stdev. The output fields are: atm_ki, atm_kew, atm_vol, rho, and rho_ratio - rho/stdev.

Usage

ecld.quartic_Qp_atm_attr(df)
ecld.quartic_model_sample(dt, ttm, skew_adjusted = TRUE)
ecld.quartic_model_sample_attr(dt, ttm, target_file, skew_adjusted = TRUE)

Arguments

df

data.frame

dt

character, one of three sample dates used in the quartic model paper (YYYY-MM-DD)

ttm

numeric, list of time to expiration (T=1 for one year)

skew_adjusted

logical, if true, use skew adjusted T=0 intercep, else use the tercep from linear fit. Default is TRUE.

target_file

character, file location to cache the attribute data (to avoid lengthy repetitions)

Value

data.frame

Examples

# NOT RUN {
ttm <- seq(sqrt(90), sqrt(365), length.out=3)^2 / 365
epsr = 0.014 + 0*ttm
mupr <- -(ecld.quartic_SN0_max_RNV() - 0.2*sqrt(ttm))
# }
# NOT RUN {
    df <- data.frame(ttm=ttm, sigma=0.2*sqrt(ttm/120), mu_plus_ratio=mupr, epsilon_ratio=epsr)
    ecld.quartic_Qp_atm_attr(df)
# }