[R] RQuantlib Array processing applying EuropeanOptionExampleArray
Joe Byers
joe-byers at utulsa.edu
Mon May 22 17:57:08 CEST 2006
I am trying to replicate part of the EuropeanOptionExample using my
date. I have a data.frame containing all my inputs
atm.vols<-subset(data.vols,moneyness==min);
#Some days have the abs(moneyness) exactly between two strike prices,
#Traders will alway price an option at the higher vol when selling it,
so we will too.
atm.vols.max<-data.frame(vol.max=tapply(atm.vols$sigma,INDEX=factor(atm.vols$date),max));
#y<-date.mmddyy(as.numeric(row.names(atm.vols)));
#row.names(atm.vols.max)<-date.mmddyy(as.numeric(row.names(atm.vols.max)));
atm.work<-merge(atm.vols,atm.vols.max,by.x="date",by.y="row.names",all=TRUE)
#ok get only the vols we need
atm.work<-subset(atm.work,sigma==vol.max);
atm.work is has 749 rows.
I try and run the EuropeanOption example using atm.work$For_Price as my
array of underlying prices and the other inputs from row 9 of atm.work.
i<-9;
x<-EuropeanOption(type = "put", underlying = atm.work$For_Price, strike
= atm.work$K[i],
dividendYield = atm.work$BEY[i], riskFreeRate =
atm.work$BEY[i], maturity = atm.work$t_exp[i],
volatility = atm.work$sigma[i])
x$parameters has the array of underlying prices but the results is only
a single vector using the first row of atm.work$For_Price. Is this
because I am pulling the inputs from data.frame not arrays?
Any help is greatly appreciated.
Thank you
Joe
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