Compute qmoms for a single grouped surface (convenience wrapper)

Accepts one (id, date, days) option surface and returns a one-row tibble with the keys plus all qmoms metrics. Column names can be remapped via cols_map.

Usage

qmoms_compute_bygroup(
  groupparams,
  id = NULL,
  rate = NULL,
  days = NULL,
  date = NULL,
  cols_map = list(id = "id", date = "date", days = "days", rate = "rate", mnes = "mnes",
    impl_volatility = "impl_volatility")
)

Arguments

groupparams

A two-element list: list(group_df, params) where group_df is a data.frame/tibble containing a single surface (same id/date/days); params is the list returned by rq_default_params(). group_df must include columns for moneyness and IV (defaults: mnes, impl_volatility); optionally rate if you do not pass rate explicitly.

id, date, days, rate

Optional scalar overrides for the group keys and rate. If rate is NULL, the function looks for a rate column in group_df.

cols_map

Optional named list mapping required columns in group_df to the expected names, e.g. list(id = "ID", date = "Date", days = "Days", rate = "Rate", mnes = "M", impl_volatility = "IV").

Value

A one-row tibble with id, date, days and all qmoms metrics.

Examples

g_all <- get_rate_for_maturity(qmoms_zerocd, df_surf = qmoms_surface)
g <- subset(g_all, id == g_all$id[1] & days == g_all$days[1])
qmoms_compute_bygroup(list(g, rq_default_params()))
#> # A tibble: 1 × 20
#>      id date        days  nopt smfiv mfiv_bkm mfiv_bjn  smfivd mfivd_bkm
#>   <int> <date>     <int> <int> <dbl>    <dbl>    <dbl>   <dbl>     <dbl>
#> 1 10078 1996-01-04    30   234  6.39     3.10     3.92 0.00760    0.0115
#> # ℹ 11 more variables: mfivd_bjn <dbl>, mfis <dbl>, mfik <dbl>,
#> #   cvix_sigma2 <dbl>, cvix_mnes20 <dbl>, rix <dbl>, rixnorm <dbl>,
#> #   tlm_sigma2 <dbl>, tlm_delta20 <dbl>, slopedn <dbl>, slopeup <dbl>