3d implied volatility surface
You have seen http://addictedtor.free.fr/graphiques/thumbs.php already, haven't you? I agree with my foreposter, this isn't finance related as it is an ordinary 3d-plot, but nonetheless nice that you asked! :-) Cheers. Ulrich On Wed, Oct 26, 2011 at 9:38 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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