SFEVolaTermStructure (R 2.13.1)

SFEVolaTermStructure shows an intersection of a vola surface.

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Joanna Tomanek

Statistics of Financial Markets

Mon, July 30 2012 by Dedy Dwi Prastyo

SFEVolaTermStructure()

implvola.dat


Description: -


   rm(list=ls(all=TRUE))
   graphics.off()
x = read.table("implvola.dat")
x = x/100
dat1 =   cbind(c(1:8),t(x[11,]))
dat2 =   cbind(c(1:8),t(x[31,]))
dat3 =   cbind(c(1:8),t(x[111,]))
dat4 =   cbind(c(1:8),t(x[231,]))
a=seq(0.12,to = 0.19, length.out = 8)
plot(a,type="n",main="Term Structure",xlab="Time",ylab="Percentage [%]",ylim=c(.1,.2))
lines(dat1,col=4,type="l",lwd=2)
lines(dat2,col=3,type="l",lwd=2)
lines(dat3,col=5,type="l",lwd=2)
lines(dat4,col=2,type="l",lwd=2)