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Hello, Am I being dense? Why does the call: SpreadApproxOption (TypeFlag="c", S1=28, S2=20, X=7, Time=1, r=.10, sigma1=0, sigma2=0, rho=1) Give me an option price of 0.81 instead of 0.90...
I have a question of ignorance: I am using the SpreadApproxOption from the fOption package and noticed that, despite the value described as " the option price, a numerical value", the output of the function is an fOption object. How do...
Hello, >titletool<-read.csv("TotalCSVData.csv",header=FALSE,sep=",") > class(titletool) [1] "data.frame" >titletool[1,1] [1] Experiment name : CONTROL DB AD_1 >t<-titletootl[1,1] >t [1] Experiment name : CONTROL DB AD_1 >class(t) [1] "character...
Hello, my apologies if I do something wrong - first posting for me. I am trying to apply PCA on the daily history of a bunch of forward curves and run into my depths of ignorance. I would appreciate some help...
Sarbo, Thank you. This answers how you rebuild the curve. Now this may be a silly question but how do you shock the resulting curve to a given conf level? Thanks again, Benji. Sent from my mobile device. On Feb...
I like the idea, and I have attached a sample of data. I think this should work as the file is not a binary one. The data represents daily NYMEX data for Natural gas. The columns are flat prices (not...
hello Julien, Thank you for your response. I get Point 1. On point 2, stating your comment in another way (to make sure I understand it): since we do not have a distribution of the normal modes, no scale factor...
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