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

[Jeffrey Ryan]

http://www.quantmod.com/examples/chartSeries3d/

Data source isn't right anymore, but you can follow along.

Jeff

On Wed, Oct 26, 2011 at 2:38 PM, financial engineer
<fin_engr at hotmail.com> wrote:
>
> thanks for your response, Michael
>
> I didn't find any demo(lattice) but I did look at the demo(persp). however, being new to R, I was trying to get a better understanding of how to organize the data.
>
> I can post to the general list, but I figured since the folks on the financial side would understand the implied vol reference, I could get some good guidance faster  and perhaps any additional suggestions, if similar stuff has been done by the others :-)
>
> Best,
> BA
>
>> From: michael.weylandt at gmail.com
>> Date: Wed, 26 Oct 2011 15:26:53 -0400
>> Subject: Re: [R-SIG-Finance] 3d implied volatility surface
>> To: fin_engr at hotmail.com
>> CC: r-sig-finance at r-project.org
>>
>> 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!
>> >
>> >        [[alternative HTML version deleted]]
>> >
>> > _______________________________________________
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>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> > -- Subscriber-posting only. If you want to post, subscribe first.
>> > -- Also note that this is not the r-help list where general R questions should go.
>> >
>
>        [[alternative HTML version deleted]]
>
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-- 
Jeffrey Ryan
jeffrey.ryan at lemnica.com

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