计算 R 中的隐含波动率时出错

Question

我已经能够成功地绘制股票的波动率，现在我开始使用 quantmod 使用历史收盘价计算股票的历史隐含波动率。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, te = te, s0 = s0,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

我的预期结果是在控制台上打印每个执行价格（收盘价）的各种计算出的隐含波动率，如下所示：

[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"

Answer 1

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)

所以你需要更新你的调用：

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

Answer 2

output$plot 中的打印语句将不起作用，因为它呈现的最终输出只是一个图。因此，您需要在output$plot 之外打印它，但在使用用户输入变量input$symb 和日期时在观察者内打印。控制台输出如下图底部所示。

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, te = te, s0 = s0, 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, te = te, s0 = s0, k = callPrice.range, y = y, 
                               call.price = bsm.calls, lower = 0.001, 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)