I have a bunch of deltas and option implied vols at those deltas. I would like to interpolate them in R. Interpolating them in delta space seems difficult, since normally you would like the ATM calls and puts to paste together, but in delta space they will be on opposite ends of the x-axis (delta). I was thinking of simply doing the following:
# first convert everything to moneyness type measure sample_delta = c(seq(-.5, -.05, by=.05), seq(.05, .55, by=.05)) sample_vols = runif(n = length(sample_delta)) # some made up vols d1 = ifelse(sample_delta < 0, qnorm(sample_delta +1), qnorm(sample_delta)) s = spline(d1, sample_vols)
The issue is that I have to go back and forth converting between
delta when at the end of the day I just want things to be in standardized delta space. Does R have any packages to do this? For example
quantmod or something of the sort.
To make things more clear: Given a bunch of deltas and implied vols, I would like to generate an entire vol surface. What is the best way to do this?