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

R. Michael Weylandt michael.weylandt at gmail.com
Wed Oct 26 23:08:12 CEST 2011


Another thought, you might want to look at the rgl package: it allows
for interactive 3d graphics (though with a little bit of work) which
can add a potentially useful level of exploratory power. I haven't
used it much but would also be interested in learning more: if you'd
be interested, I'd love to do a little off-list back and forth to work
something up -- perhaps using freely available data from
quantmod::getOptionChain(, NULL) -- which we could open-source.

M

On Wed, Oct 26, 2011 at 4:35 PM, financial engineer
<fin_engr at hotmail.com> wrote:
> thanks Michael,
>
> ...appreciate the suggestions.
>
> cheers,
> BA
>
>> From: michael.weylandt at gmail.com
>> Date: Wed, 26 Oct 2011 16:21:40 -0400
>> Subject: Re: [R-SIG-Finance] 3d implied volatility surface
>> To: fin_engr at hotmail.com
>> CC: r-sig-finance at r-project.org
>>
>> Perhaps you should load the lattice package first with
>> library(lattice)....I just confirmed it has 2 3d examples in it.
>>
>> As to specific formatting advice, I'd usually prefer delta/moneyness
>> than straight strike if you were preparing the graph for me. Otherwise
>> there's one very large source of variance unaccounted for in your
>> graph should you start to compare over different points in time.
>>
>> Other than that, I don't think there's too much to know beyond the
>> usual caveats for financial data: smoothing only if appropriate, make
>> sure prices are clean and correspond to something actionable (i.e.,
>> make sure you aren't using prints that are just old and discovering
>> "arbitrages").
>>
>> Michael
>>
>> On Wed, Oct 26, 2011 at 3:38 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]]
>> >> >
>> >> > _______________________________________________
>> >> > R-SIG-Finance at r-project.org mailing list
>> >> > 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.
>> >> >
>> >
>



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