optionData

Closing prices of DAX index options as of 2012-02-10.

datasets

Functions, examples and data from the first and
the second edition of "Numerical Methods and Optimization in
Finance" by M. Gilli, D. Maringer and E. Schumann (2019,
ISBN:978-0128150658).  The package provides implementations
of optimisation heuristics (Differential Evolution, Genetic
Algorithms, Particle Swarm Optimisation, Simulated Annealing
and Threshold Accepting), and other optimisation tools, such
as grid search and greedy search.  There are also functions
for the valuation of financial instruments such as bonds and
options, for portfolio selection and functions that help
with stochastic simulations.

Enrico Schumann

NMOF

Numerical Methods and Optimization in Finance

optionData function

<code>optionData</code> is a list with six components:<dl>
 <dt><code>pricesCall</code></dt>
<dd>a matrix of size 124 times 10. The rows
 are the strikes; each column belongs to one expiry date.</dd> <dt><code>pricesPut</code></dt>
<dd>a matrix of size 124 times 10</dd> <dt><code>index</code></dt>
<dd>The DAX index (spot).</dd> <dt><code>future</code></dt>
<dd>The available future settlement prices.</dd> <dt><code>Euribor</code></dt>
<dd>Euribor rates.</dd> <dt><code>NSSpar</code></dt>
<dd>Paramaters for German government bond yields,
 as estimated by the Bundesbank.</dd> 
</dl>

Format

Option Data — optionData

<code>optionData</code> is a list with six components:<dl>
 <dt><code>pricesCall</code></dt>
<dd>a matrix of size 124 times 10. The rows
 are the strikes; each column belongs to one expiry date.</dd>

 <dt><code>pricesPut</code></dt>
<dd>a matrix of size 124 times 10</dd>

 <dt><code>index</code></dt>
<dd>The DAX index (spot).</dd>

 <dt><code>future</code></dt>
<dd>The available future settlement prices.</dd>

 <dt><code>Euribor</code></dt>
<dd>Euribor rates.</dd>

 <dt><code>NSSpar</code></dt>
<dd>Paramaters for German government bond yields,
 as estimated by the Bundesbank.</dd>

 
</dl>

optionData: Option Data

Description

Usage

Arguments

Format

Details

References

Examples