Finance routines developed by the IGIDR Finance Research Group.


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Documentation for package ‘ifrogs’ version 1.1

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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