OptionsPdf: This package estimates a mix of lognormal distributions from interest-rate option data

This package provides the estimation of implied probability density functions (pdf) from options data. The pdf's take the form of a mix of lognormal distributions. The methods used in the routines are discussed in the paper: Soderlind, P., and L. E. O. Svensson (1997), "New Techniques to Extract Market Expectations from Financial Instruments", Journal of Monetary Economics, 40, 383-429. The user should kindly notice that this package is the R port of the Matlab routines originally distributed by P. Soderlind, and freely available from: http://home.datacomm.ch/paulsoderlind/

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