getMidPriceQReg

Similar to getMidPriceQ but regularized.

dbbpy.getMidPriceQReg(sp, strike, bid, ask, pFlag, spotsP, spbid, spask)

Parameters:

sp (numpy.ndarray): A 1D array of floats representing the spot prices in different states of the world
bid (numpy.ndarray): A 1D array of floats representing the bid prices for different options
ask (numpy.ndarray): A 1D array of floats representing the ask prices for different options
strike (numpy.ndarray): A 1D array of floats representing the strike prices of different options
pFlag (numpy.ndarray): A 1D array of booleans indicating whether each option is a call (True) or a put (False) option
spotsP (float): A scaling factor used to adjust the magnitude of the spot prices and pricing constraints
spbid (float): The bid price related to the spot prices, used to define the lower bound of the pricing constraints
spask (float): The ask price related to the spot prices, used to define the upper bound of the pricing constraints

Output:

rdbb::getMidPriceQReg(sp, strike, bid, ask, pFlag, spotsP, spbid, spask)

Parameters:

sp (numeric vector): A vector of floats representing the spot prices in different states of the world
bid (numeric vector): A vector of floats representing the bid prices for different options
ask (numeric vector): A vector of floats representing the ask prices for different options
strike (numeric vector): A vector of floats representing the strike prices of different options
pFlag (logical vector): A vector of booleans indicating whether each option is a call (TRUE) or a put (FALSE) option
spotsP (numeric): A scaling factor used to adjust the magnitude of the spot prices and pricing constraints
spbid (numeric): The bid price related to the spot prices, used to define the lower bound of the pricing constraints
spask (numeric): The ask price related to the spot prices, used to define the upper bound of the pricing constraints

Output:

Last updated 4 months ago