在 R 中计算隐含波动率时出错

编程问答 2022-05-30

问题描述

我已经能够成功地绘制股票的波动率，现在我已经使用 quantmod 使用历史收盘价计算股票历史隐含波动率。下面是我的代码，但我得到的错误让我失望。我是这门语言的新手，肯定有一点学习曲线，非常感谢任何输入：

library(quantmod)
library(stringr)
library(tidyr)
library(dplyr)
library(ggplot2)
library(RND)
source("helpers.R")


ui <- fluidPage(
    titlePanel("Realized Voltility"),helpText("Select a stock to examine. information will be collected from Yahoo finance."),textInput("symb","Symbol",value="SPY"),daterangeInput("dates","Date range",start = "2020-09-01",end = as.character(Sys.Date())),plotOutput("plot")
)

# Define server logic required to draw a histogram
server <- function(input,output) {
    
    output$plot <- renderPlot({
        
        ##Get stock price data
        price <- getSymbols(req(input$symb),src = "yahoo",from = input$dates[1],to = input$dates[2],auto.assign = FALSE)
        
        ##plot volitility based on price dataframe
        vol <- volatility(price,n=25,N=252,calc="close")
        
        ##set values for BS computation of Implied Vol
        r = 0.05
        y = 0.02
        te = 60/365
        s0 = 400
        
        ##run through function to set option price range
        sigma.range = seq(from = 0.1,to = 0.8,by = 0.05)
        callPrice.range = floor(seq(from = 300,to = 500,length.out = length(sigma.range)))
        bsm.calls = numeric(length(sigma.range))
        for (i in 1:length(sigma.range))
        {
            bsm.calls[i] = price.bsm.option(r = r,te = te,s0 = s0,k = callPrice.range[i],sigma = sigma.range[i],y = y)$call
        }
        bsm.calls
        
        ##set call price range
        callPrice.range
        
        ##loop through dataframe 'price' and compute IV for each closing day value based on variables r,te,s0,k,y,callPrice.range,and set lower/upper range
        iVol <- for (i in price) {
            impliedVol = compute.implied.volatility(r = r,k = i,y = y,callPrice.range = bsm.calls,lower = 0.001,upper = 0.999)
            
            ##for each computr value of IV,paste it in the console to start
            print(paste("CLosing Price = ",impliedVol))
        }
        
        ##chart it all
        chartSeries(vol)
    })
    
}

# Run the application
shinyApp(ui = ui,server = server)

收到的错误信息如下：

Listening on http://127.0.0.1:5727
Warning: Error in compute.implied.volatility: unused argument (callPrice.range = bsm.calls)
  167: renderPlot [/Users/nobility/DevProjects/ShinyOptionspractice/app.R#63]
  165: func
  125: drawPlot
  111: <reactive:plotObj>
   95: drawReactive
   82: origRenderFunc
   81: output$plot
    1: runApp

我的预期结果是打印到控制台的每个执行价格（收盘价）的各种计算隐含波动率如下：

[1] "Implied Vol =  339.390015"
[1] "Implied Vol =  338.220001"
[1] "Implied Vol =  326.660004"
[1] "Implied Vol =  329.980011"
[1] "Implied Vol =  326.540009"
[1] "Implied Vol =  330.200012"
[1] "Implied Vol =  336.029999"
[1] "Implied Vol =  343.540009"

解决方法

错误是因为 compute.implied.volatility() 没有 callPrice.range 参数。您可能打算使用 call.price。

函数定义为：

compute.implied.volatility(r,te,s0,k,y,call.price,lower,upper)

因此您需要将您的电话更新为：

impliedVol = compute.implied.volatility(r = r,te = te,s0 = s0,k = i,y = y,call.price = bsm.calls,lower = 0.001,upper = 0.999)
,

您在 output$plot 中的打印语句将不起作用，因为它呈现的最终输出只是一个情节。因此，您需要将其打印在 output$plot 之外，但在观察者内打印，因为您正在使用用户输入变量 input$symb 和日期。控制台输出显示在下图的底部。

试试这个

ui <- fluidPage(
  titlePanel("Realized Voltility"),helpText("Select a stock to examine. Information will be collected from Yahoo finance."),textInput("symb","Symbol",value="SPY"),dateRangeInput("dates","Date range",start = "2020-09-01",end = as.character(Sys.Date())),plotOutput("plot")
)

# Define server logic required to draw a histogram
server <- function(input,output) {
  
  observe({
    ##Get stock price data
    price <- getSymbols(req(input$symb),src = "yahoo",from = input$dates[1],to = input$dates[2],auto.assign = FALSE)
    
    ##plot volitility based on price dataframe
    vol <- volatility(price,n=25,N=252,calc="close")
    
    ##set values for BS computation of Implied Vol
    r = 0.05
    y = 0.02
    te = 60/365
    s0 = 400
    
    ##run through function to set option price range
    sigma.range = seq(from = 0.1,to = 0.8,by = 0.05)
    callPrice.range = floor(seq(from = 300,to = 500,length.out = length(sigma.range)))
    bsm.calls = numeric(length(sigma.range))
    for (i in 1:length(sigma.range))
    {
      bsm.calls[i] = price.bsm.option(r = r,k = callPrice.range[i],sigma = sigma.range[i],y = y)$call
    }
    bsm.calls
    
    ##set call price range
    callPrice.range
    
    impliedVol = compute.implied.volatility(r = r,k = callPrice.range,upper = 0.999)
    sigma.range
    print(paste("CLosing Price = ",impliedVol))
    
    output$plot <- renderPlot({
      
      ##chart it all
      chartSeries(vol)
    })
    
  })
  
}

# Run the application
shinyApp(ui = ui,server = server)

output

quantmodrrshiny