Skip to contents

All functions

annualize()
Annualize Volatility or Variance
as.variance()
variance Class Coercing
as.volatility()
volatility Class Coercing
bsmd1()
Computes d1 from Black-Scholes-Merton model.
bsmgreeks() bsmdelta() bsmvega() bsmgamma() bsmtheta() bsmrho()
Computes the desired greek letter from Black-Scholes-Merton model.
bsmimpvol()
Computes implied volatility inverting Black-Scholes-Merton formula.
bsmmoneyness()
Computes a measure of moneyness for Black-Scholes-Merton model.
bsmprice()
Computes option price via Black-Scholes-Merton formula.
csm_fit_min_price()
Corrado-Su Model Fit in Price
csm_fit_min_vol()
Corrado-Su Model Fit in Implied Volatility
csm_obj_min_price() csm_obj_grad_price()
Corrado-Su Model Objective Function in Price
csm_obj_min_vol()
Corrado-Su Model Objective Function in Implied Volatility
csmd()
Computes d from modified Corrado-Su model.
csmdelta()
Computes Delta from modified Corrado-Su model.
csmprice()
Computes option price with modified Corrado-Su model.
csmq3()
Computes Q_3 from modified Corrado-Su model.
csmq4()
Computes Q_4 from modified Corrado-Su model.
csmvega()
Computes Vega from modified Corrado-Su model.
csmw()
Computes w from modified Corrado-Su model.
daily()
Daily Volatility or Variance
multiroot()
Vectorial bisection method varying parameters from one function.
print(<multiroot>)
Print Bisection Method Result.
print(<variance>)
Special print method for variance class.
print(<volatility>)
Special print method for volatility class.
svi_fit()
SVI fit
svi_var()
SVI Variance
d_poly() mu3() mu4() create_uncons_regionD() uncons_regionD()
Unconstrained Gram-Charlier Distribution Parametrization