[R-SIG-Finance] [SPAM] - GBSVolatility using apply - Email found in subject
David.Reiner at xrtrading.com
Thu Aug 12 15:50:31 CEST 2010
You may not have gotten an answer because this is not really a finance question, but a regular R question,
unless you did not know of an implied vol function.
This should give you an idea:
> mapply(function(K,OP) EuropeanOptionImpliedVolatility(type="call", value=OP, underlying=df$SPOT, strike=K, dividendYield=0, riskFreeRate=0.01, maturity=2/52, volatility=0.6)$impliedVol, df$STRIKE_PR, df$SETTLE_PR)
 0.9196752 0.8249324 0.6735371 0.7005296 0.6028061 0.5740485
where df is your data.frame
Or you could use Vectorize() to make a function to compute implied vols over vectors of strikes and option prices.
From: r-sig-finance-bounces at stat.math.ethz.ch [mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Raghuraman Ramachandran
Sent: Wednesday, August 11, 2010 3:10 PM
To: r-sig-finance at stat.math.ethz.ch
Subject: [SPAM] - [R-SIG-Finance] GBSVolatility using apply - Email found in subject
I posted this query before but I guess it was missed out from the list. I am
trying to find the implied vols for the following structure using apply
function. As I am relatively new to R and learning to apply apply, could
someone please tell me how do I apply apply in this case? I want to try to
find out the IVs using vectorisation only and thus I want to understand how
apply works in this case.
structure(list(EXPIRY_DT = structure(c(1L, 1L, 1L, 1L, 1L, 1L
), .Label = "26-Aug-10", class = "factor"), STRIKE_PR = c(9600L,
9700L, 9800L, 9900L, 10000L, 10100L), OPTION_TYP = structure(c(1L,
1L, 1L, 1L, 1L, 1L), .Label = "CE", class = "factor"), OPEN = c(866.55,
783.1, 575, 0, 470, 355), HIGH = c(866.55, 783.1, 575, 0, 470,
360), LOW = c(866.55, 742.25, 575, 0, 420, 343), CLOSE = c(866.55,
742.25, 575, 493, 425, 360), SETTLE_PR = c(866.55, 742.25, 575,
547, 425, 360), SPOT = c(9900L, 9900L, 9900L, 9900L, 9900L, 9900L
)), .Names = c("EXPIRY_DT", "STRIKE_PR", "OPTION_TYP", "OPEN",
"HIGH", "LOW", "CLOSE", "SETTLE_PR", "SPOT"), class = "data.frame",
row.names = c(NA,
Assume r=0.1 and cost-of-carry=0.1. All options are Calls (European),Exp =
26th Aug 2010.
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