[R-SIG-Finance] 3d implied volatility surface

R. Michael Weylandt michael.weylandt at gmail.com
Wed Oct 26 21:26:53 CEST 2011


This isn't specifically financial so any follow up is perhaps better
done on the general R-help list, but try demo(persp) to see some
example code that's built in. If I remember correctly, demo(lattice)
also has at least one 3d example.

Michael

On Wed, Oct 26, 2011 at 1:43 PM, financial engineer
<fin_engr at hotmail.com> wrote:
>
> hi,
>
> I'd like to be able to plot a 3-d vol surface using option strike vs. expiration(as yrs to maturity) vs. implied volatility.
>
> I have the historical trade-date, expiration-date, strike, option price, option symbol, option type, implied vol. etc. data for each option,
> so I ran the following query:
> OpQuotes <- dbGetQuery(con,"SELECT strike,iv,ytm FROM greeks WHERE trade_date='2011-10-07' AND symbol like 'MCO%'and type='C';")
>
> I am trying to figure out if I need to convert the above into a list or have individual matrices, or set it up as a seq. Would appreciate some help/direction/suggestion/example code on that.
>
> I'd like to be able to use "persp" or "lattice" to plot this.
>
> thanks!
>
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