finance - interpolating option volatility in R -


i have bunch of deltas , option implied vols @ deltas. interpolate them in r. thinking of doing following:

#first convert 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 vols d1 = ifelse(sample_delta <0, qnorm(sample_delta +1), qnorm(sample_delta )) s = spline(d1, sample_vols)

the issue have go , forth converting between d1 , delta when @ end of day want things in standardized delta space. r have packages this? example quantmod or of sort.


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