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I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. I was thinking of simply doing the following:

#first convert everything to moneyness type measure
sample_delta = c(seq(-.5, -.05, by=.05), seq(.05, .55, by=.05))
sample_vols = runif(n = length(sample_delta)) #some made up vols
d1 = ifelse(sample_delta <0, qnorm(sample_delta +1), qnorm(sample_delta ))
s = spline(d1, sample_vols)

The issue is that I have to go back and forth converting between d1 and delta when at the end of the day I just want things to be in standardized delta space. Does R have any packages to do this? FOr example quantmod or something of the sort.

Alex
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  • Your question isn't entirely clear (what do you mean by "I have to go back and forth between d1 and delta"?). Also, it might be better suited to http://quant.stackexchange.com. – Joshua Ulrich May 03 '13 at 00:52
  • I just meant that I can't think of a good way to interpolate in delta space because you want to paste the ATM calls with ATM puts but if delta is on the x-axis they are on opposite ends. – Alex May 03 '13 at 17:26

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