| Library: | finance |
| See also: | american european volatility ImplVola volsurf |
| Quantlet: | volsurfplot | |
| Description: | produces a graphic visualising the implied volatility surface computed by the quantlet volsurf. The original options are shown as red points. |
| Usage: | volsurfplot(IVsurf, IVpoints {, AdjustToSurface}) | |
| Input: | ||
| IVsurf | N x 3 matrix containing the volatility surface as computed by the quantlet volsurf. The first column represents moneyness, the second contains the time to maturity and the third the implied volatilities. | |
| IVpoints | N x 3 matrix containing the coordinates of the implied volatilities of the options used to estimate the surface. The first column represents moneyness, the second the time to maturity and the third the implied volatilities. | |
| AdjustToSurface | scalar, (optional) if AdjustToSurface = 1 (default) the surface data as given by IVsurf are taken in order to find limits for the graphic, otherwise the original observations are used. | |
library("finance")
data=read("volsurfdata2.dat")
stepwidth=0.02|(1/52)
bandwidth=0.1|0.4
firstXF=0.8
lastXF=1.2
firstMat=0
lastMat=1
metric=0
{IVsurf,IVpoints}=volsurf(data, stepwidth, firstXF,lastXF,firstMat,lastMat,metric, bandwidth, 0)
volsurfplot(IVsurf,IVpoints)
A graphic displaying the implied volatility surface from the data of January, 4th, 1999.