This is all-in-one calculator. The inputs are symbol, date (YYYY-MM-DD), and quartic config file location, and the optional external data directory. The data structure and documentation here are really rough. They are used to calcuate teh data needed for the quartic paper. They need to be polished and refined after the quartic paper is released.
ecop.term_master_calculator(
symbol,
date_str,
int_rate = 0,
div_yield = 0,
config_file = NULL,
extdata_dir = NULL
)ecop.smile_data_calculator(idx, df_day, master, int_rate, div_yield, otype)
ecop.term_atm(opt)
character pointing to the standard option data file
character in the form of YYYY-MM-DD
numeric, the interest rate used to calculate BS implied volatility from market data
numeric, the vididend yield used to calculate BS implied volatility from market data
character, config file from the quarter optimx fit
character, external data directory
integer, indicating the index of the option chain
data frame for the day
the list structure from the output of ecop.term_master_calculator
character, option type of p or c
the list structure from the output of ecop.smile_data_calculator
The nested list containing all analytics of volatility smiles for a date.
The first level keys are the date strings.
The first level attributes are quartic.config which is a data frame,
lists of days, volumes, classes, and values of undl_price, max_idx.