dtd |
Computes distance to default |
dtd_reliance |
Daily data on market capitalization, debt and equity volatility for Reliance |
is_reliance |
Example dataset on the spot and futures prices of RELIANCE |
pdshare |
Computes information share & component share weights |
prep_maturity |
Prepares a cross-section of data on options for a maturity to feed to 'weighted_iv' and 'vix_ci'. |
vix_ci |
Computes confidence interval for model-based volatility indexes |
vix_nifty |
A cross section of Nifty options on 1st September, 2010. |
vix_pt |
Computes point estimates of model-based volatility indexes |
vix_spx |
A cross section of end-of-day SPX options on 17th September, 2010. |
vxo |
Calculates the old CBOE VIX also known as VXO |
vxo_nifty |
A cross section of Nifty options on 1st September, 2010. |
vxo_spx |
A cross section of end-of-day SPX options on 17th September, 2010. |
weighted_iv |
Computes weighted average implied volatility for a maturity |