ecd: Elliptic Distribution and Lambda Option Pricing Model

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An implementation of the univariate elliptic distribution, and lambda option pricing model. It provides detailed functionality and data sets for the distribution and modelling. Especially, it contains functions for the computation of density, probability, quantile, fitting procedures, option prices, volatility smile. It also comes with sample financial data, and plotting routines.

Author
Stephen H-T. Lihn [aut, cre]
Date of publication
2016-07-10 16:58:53
Maintainer
Stephen H-T. Lihn <stevelihn@gmail.com>
License
Artistic-2.0
Version
0.8.2
URLs

View on CRAN

Man pages

bootstrap.ecdb
Bootstrap data for the Elliptic DB (ECDB)
dec
The Elliptic Distribution
discr.ecd
Discriminant of the elliptic curve y(x)
ecd
Constructor of ecd class
ecd.adj_gamma
Discriminant-adjusted gamma
ecd.asymp_stats
Compute asymptotic statistics of an ecd object
ecdattr
Constructor of 'ecdattr' class for the Elliptic Database...
ecdattr-class
An S4 class to represent the 'ecdattr' row in the Elliptic...
ecdattr.enrich
Enrich a basic 'ecdattr' object
ecdattr.pairs
Create a list of basic 'ecdattr' objects
ecdattr.pairs_polar
Create a list of basic 'ecdattr' objects in polar coordinate
ecdb
Constructor of ecdb class for the elliptic database
ecdb-class
setClass for ecdb class
ecdb.dbSendQuery
Send query to the elliptic database
ecdb.protectiveCommit
Protective commit
ecd.ccdf
Complementary CDF of ecd
ecd.cdf
CDF of ecd
ecd-class
The ecd class
ecd.cubic
Generate or solve the cubic polynomial for ecd
ecd.cusp
Cusp constructor of ecd class
ecd.cusp_a2r
Conversion between alpha and gamma for cusp distribution
ecd.cusp_std_moment
The moments, characteristic function (CF), and moment...
ecd.data
Read sample data
ecd.data_stats
Statistics and histogram on log returns
ecd.df2ts
Utility to standardize timeseries from data.frame to xts
ecd.erfq
Quartic scaled error function
ecd.estimate_const
Estimate the normalization constant for an ecd object
ecd.fit_data
Sample data fit
ecd.fit_ts_conf
Timeseries fitting utility
ecd.has_quantile
Whether the ecd object has quantile data or not
ecd.imgf
Incomplete MGF of ecd
ecd.integrate
Wrapper to integrate numeric and mpfr
ecd.lag
Utility to shift a vector of numeric or mpfr
ecd.manage_hist_tails
Manage histogram tails
ecd.max_kurtosis
Utility to calculate where the maximum kurtosis is on the...
ecd.mp2f
Wrapper to convert mpfr to numeric
ecd.mpfr
Wrapper to convert numeric to mpfr
ecd.mpfr_qagi
Utility to integrate mpfr with infinity via qagi
ecd.mpnum
Wrappers for ecd to maintain consistent type between mpfr and...
ecd.ogf
Option generating function of ecd
ecd-package
ecd: A package for the elliptic distribution.
ecd.pdf
Calculate the PDF of an ecd object
ecd.polar
Polar constructor of ecd class
ecdq
Constructor of ecdq class
ecdq-class
setClass for ecdq class
ecd.rational
Utility to convert a numeric to a rational
ecd.read_csv_by_symbol
Read csv file of sample data
ecd.read_symbol_conf
Read conf for sample data
ecd.sd
Standard deviation, variance, mean, skewness, and kurtosis of...
ecd.setup_const
Integration preprocessor for an ecd object
ecd.solve_cusp_asym
Trigonometric solution for asymmetric cusp distribution
ecd.stats
Compute statistics of an ecd object
ecd.toString
String representation of ecd
ecd.ts_lag_stats
Lag statistics on timeseries of log returns
ecd.uniroot
Uniroot wrapper
ecd.y0_isomorphic
The analytic solution of y(0) via isomorphic mapping.
ecld
Constructor of ecld class
ecld.cdf
CDF and CCDF of ecld
ecld-class
An S4 class to represent the lambda distribution
ecld.const
Analytic solution of the normalization constant for lambda...
ecld.gamma
Incomplete gamma function and asymptotic expansion
ecld.imgf
Incomplete moment generating function (IMGF) of ecld
ecld.imnt
Incomplete moment (imnt) of ecld
ecld.ivol_ogf_star
Calculate implied volatility using star OGF and small sigma...
ecld.mgf_term
The term structure of ecld symmetric MGF
ecld.moment
The moments and MGF of ecld
ecld.mpnum
Wrappers for ecld to maintain consistent type between mpfr...
ecld.mu_D
mu_D of ecld
ecld.ogf
Option generating function (OGF) of ecld
ecld.ogf_star
Star OGF of ecld
ecld.op_V
The O, V, U operators in option pricing model
ecldOrEcd-class
The ecldOrEcd class
ecld.pdf
Calculate the PDF of an ecld object
ecld.quartic_Qp
The ATM volatility and skew of Q_p in quartic model
ecld.quartic_Qp_atm_attr
Calculate ATM attributes from key quartic parameters
ecld.quartic_SN0_atm_ki
The ATM RNO related constants and calculations in quartic...
ecld.sd
Compute statistics analytically for an ecld object
ecld.sged_const
The integral solutions of SGED
ecld.solve
Analytic solution for y(x) in lambda distribution
ecld.y_slope
Analytic solution for the slope of y(x) in lambda...
ecop.bs_implied_volatility
Implied volatility of Black-Sholes model
ecop.bs_option_price
Calculate option price from implied volatility in...
ecop-class
An S4 class to represent the top-level option model
ecop.from_symbol_conf
Constructor of ecop class by read conf for option sample data
ecop.opt-class
An S4 class to represent the option data and model...
ecop.plot_option
Plot option chain charts using conf from option sample data
ecop.polyfit_option
Poly fit on option prices
ecop.read_csv_by_symbol
Read option data csv
ecop.term_master_calculator
Master calculator for all the analytics of volatility smiles...
ecop.term_plot_3x3
Produce 3x3 plot of volatility smiles for a date
ellipticity.ecd
Ellipticity of ecd object
history.ecdb
List of history in the Elliptic DB
integrate_pdf.ecd
Integrate a function with PDF of the distribution
jinv.ecd
J-invariant of the elliptic curve y(x)
moment.ecd
Compute the moment of ecd via integration
numericMpfr-class
The numericMpfr class
plot_2x2.ecd
Standard 2x2 plot for sample data
quantilize.ecd
Add the quantile data to the ecd object
read.ecdb
Read API for the ecdb
solve.ecd
Solve the elliptic curve y(x)
solve_sym.ecd
Analytic solution for a symmetric elliptic curve
solve_trig.ecd
Trigonometric solution for a elliptic curve
summary.ecdb
Summary for the Elliptic DB (ECDB)
write.ecdb
Write API for the ecdb for a list of basic ecdattr objects
y_slope.ecd
Slope of y(x)

Files in this package

ecd
ecd/inst
ecd/inst/extdata
ecd/inst/extdata/spx_archive_7.csv.zip
ecd/inst/extdata/spxoption2_archive_201506.csv.zip
ecd/inst/extdata/dji_archive_10.csv.zip
ecd/inst/extdata/wti_archive_2.csv.zip
ecd/inst/extdata/r10y_archive_2.csv.zip
ecd/inst/extdata/chf_archive_2.csv.zip
ecd/inst/extdata/data_conf.yml
ecd/inst/extdata/elliptic.db
ecd/inst/extdata/gold_archive_2.csv.zip
ecd/inst/extdata/vix_archive_7.csv.zip
ecd/inst/doc
ecd/inst/doc/elliptic.pdf
ecd/inst/doc/ecop-special.pdf
ecd/inst/doc/ecd-manual.pdf
ecd/tests
ecd/tests/testthat.R
ecd/tests/testthat
ecd/tests/testthat/test-data-ecd.R
ecd/tests/testthat/test-isomorphic-ecd.R
ecd/tests/testthat/test-std-cusp-ecd.R
ecd/tests/testthat/test-option-ecop.R
ecd/tests/testthat/test-lambda-est-ecd.R
ecd/tests/testthat/test-lambda-gamma-ecd.R
ecd/tests/testthat/test-lambda-imnt-ecd.R
ecd/tests/testthat/test-lambda-normal-ecd.R
ecd/tests/testthat/test-cusp-ecd.R
ecd/tests/testthat/test-pdf-solve-ecd.R
ecd/tests/testthat/test-internal-ecdb-ecd.R
ecd/NAMESPACE
ecd/NEWS.md
ecd/R
ecd/R/ecd-jinv-generic.R
ecd/R/ecop-constructor.R
ecd/R/ecd-ccdf-method.R
ecd/R/ecop-opt-class.R
ecd/R/ecd-solve-cusp-asym-method.R
ecd/R/ecd-fit-ts-conf-method.R
ecd/R/ecld-constructor.R
ecd/R/ecd-plot-2x2-generic.R
ecd/R/ecd-data-stats-method.R
ecd/R/ecop-polyfit-option-method.R
ecd/R/ecd-is-numericMpfr-internal.R
ecd/R/ecld.quartic_Qp_atm_attr.R
ecd/R/ecdb-read-generic.R
ecd/R/ecd-ogf-method.R
ecd/R/ecdb-write-generic.R
ecd/R/ecd-read-csv-by-symbol-method.R
ecd/R/ecd-adj-gamma-method.R
ecd/R/ecd-y0-isomorphic-method.R
ecd/R/ecd-cusp-constructor.R
ecd/R/ecld-imnt-method.R
ecd/R/ecd-moment-generic.R
ecd/R/ecd-cdf-method.R
ecd/R/ecd-integrate-pdf-generic.R
ecd/R/ecop-term-master-calculator-method.R
ecd/R/ecld-mu-D-method.R
ecd/R/ecop-bs-implied-volatility-method.R
ecd/R/ecdq-class.R
ecd/R/ecdb-ecdattr-generic.R
ecd/R/ecdb-constructor.R
ecd/R/ecd-sd-method.R
ecd/R/ecd-imgf-method.R
ecd/R/ecd-integrate-method.R
ecd/R/ecld-solve-method.R
ecd/R/ecd-toString-method.R
ecd/R/ecop-term-plot-3x3-method.R
ecd/R/ecdq-constructor.R
ecd/R/ecdattr-pairs-method.R
ecd/R/ecd-ts-lag-stats-method.R
ecd/R/ecd-ecldOrEcd-class.R
ecd/R/ecd-estimate-const-method.R
ecd/R/ecld-imgf-method.R
ecd/R/ecdattr-pairs-polar-method.R
ecd/R/ecld-sd-method.R
ecd/R/ecd-cusp-std-moment-method.R
ecd/R/ecd-read-symbol-conf-method.R
ecd/R/ecd-cusp-a2r-method.R
ecd/R/ecld-ivol-ogf-star-method.R
ecd/R/ecop-read-csv-by-symbol.R
ecd/R/ecd-mpfr-qagi-method.R
ecd/R/ecdattr-constructor.R
ecd/R/ecdb-helpers-internal.R
ecd/R/ecdb-summary-generic.R
ecd/R/ecd-ellipticity-generic.R
ecd/R/ecd-asymp-stats-method.R
ecd/R/ecd-lag-method.R
ecd/R/ecd-solve-generic.R
ecd/R/ecd-cubic-method.R
ecd/R/ecd-stats-method.R
ecd/R/ecld.quartic-RN0-method.R
ecd/R/ecdb-dbSendQuery-method.R
ecd/R/ecd-quantilize-generic.R
ecd/R/ecld-gamma-method.R
ecd/R/ecdattr-class.R
ecd/R/ecd-df2ts-method.R
ecd/R/ecld-mpnum-method.R
ecd/R/ecld-ogf-star-method.R
ecd/R/ecd-rational-method.R
ecd/R/ecd-distribution-method.R
ecd/R/ecd-mpnum-method.R
ecd/R/ecld-class.R
ecd/R/ecld-y-slope-method.R
ecd/R/ecd-solve-sym-generic.R
ecd/R/ecd-mpfr-method.R
ecd/R/ecld-mgf-term-method.R
ecd/R/ecld-const-method.R
ecd/R/ecld-pdf-method.R
ecd/R/ecd-solve-trig-generic.R
ecd/R/ecd-data-config-internal.R
ecd/R/ecdb-protectiveCommit-method.R
ecd/R/ecd-erfq-method.R
ecd/R/ecd-discr-generic.R
ecd/R/ecdattr-enrich-method.R
ecd/R/ecd-data-method.R
ecd/R/ecld-cdf-method.R
ecd/R/ecd-pdf-method.R
ecd/R/ecld.quartic-Qp-method.R
ecd/R/ecd-model-internal.R
ecd/R/ecld-op-V-method.R
ecd/R/ecd-manage-hist-tails-method.R
ecd/R/ecop-class.R
ecd/R/ecd-polar-constructor.R
ecd/R/ecd-numericMpfr-class.R
ecd/R/ecd-y-slope-generic.R
ecd/R/ecop-plot-option-method.R
ecd/R/ecd-standardfit-method.R
ecd/R/ecld-moment-method.R
ecd/R/ecdb-history-generic.R
ecd/R/ecd-package.R
ecd/R/ecd-class.R
ecd/R/ecd-has-quantile-method.R
ecd/R/ecd-uniroot-method.R
ecd/R/ecd-constructor.R
ecd/R/ecd-fit-data-method.R
ecd/R/ecd-setup-const-method.R
ecd/R/ecd-max-kurtosis-method.R
ecd/R/ecop-bs-option-price-method.R
ecd/R/ecdb-bootstrap-generic.R
ecd/R/ecdb-class.R
ecd/R/ecd-mp2f-method.R
ecd/R/ecld-ogf-method.R
ecd/R/ecld-sged-method.R
ecd/MD5
ecd/DESCRIPTION
ecd/man
ecd/man/solve.ecd.Rd
ecd/man/ecd.mpfr.Rd
ecd/man/ecd.mp2f.Rd
ecd/man/ecd.cusp_a2r.Rd
ecd/man/ecd.stats.Rd
ecd/man/ecld.Rd
ecd/man/ecop.polyfit_option.Rd
ecd/man/ecld.op_V.Rd
ecd/man/ecd.data.Rd
ecd/man/ecd-class.Rd
ecd/man/discr.ecd.Rd
ecd/man/ecld-class.Rd
ecd/man/ecd.rational.Rd
ecd/man/ecdq.Rd
ecd/man/ecdattr-class.Rd
ecd/man/ecd.estimate_const.Rd
ecd/man/ecop.read_csv_by_symbol.Rd
ecd/man/dec.Rd
ecd/man/ecd.read_csv_by_symbol.Rd
ecd/man/ecdb-class.Rd
ecd/man/numericMpfr-class.Rd
ecd/man/ecld.cdf.Rd
ecd/man/ecd.imgf.Rd
ecd/man/ecd.cubic.Rd
ecd/man/solve_sym.ecd.Rd
ecd/man/ecd.cdf.Rd
ecd/man/ecdattr.enrich.Rd
ecd/man/ecd.read_symbol_conf.Rd
ecd/man/ecop.term_plot_3x3.Rd
ecd/man/ecd.integrate.Rd
ecd/man/ecd.adj_gamma.Rd
ecd/man/ecd.cusp_std_moment.Rd
ecd/man/bootstrap.ecdb.Rd
ecd/man/integrate_pdf.ecd.Rd
ecd/man/ecldOrEcd-class.Rd
ecd/man/ecd.fit_data.Rd
ecd/man/ecd.ogf.Rd
ecd/man/plot_2x2.ecd.Rd
ecd/man/ecld.mgf_term.Rd
ecd/man/ecd.ccdf.Rd
ecd/man/ecop.bs_implied_volatility.Rd
ecd/man/ecld.pdf.Rd
ecd/man/quantilize.ecd.Rd
ecd/man/ecld.quartic_SN0_atm_ki.Rd
ecd/man/ecd.mpfr_qagi.Rd
ecd/man/ecop-class.Rd
ecd/man/ecd.max_kurtosis.Rd
ecd/man/summary.ecdb.Rd
ecd/man/ellipticity.ecd.Rd
ecd/man/ecop.from_symbol_conf.Rd
ecd/man/ecd-package.Rd
ecd/man/ecd.has_quantile.Rd
ecd/man/ecld.ogf_star.Rd
ecd/man/ecd.mpnum.Rd
ecd/man/jinv.ecd.Rd
ecd/man/ecld.imgf.Rd
ecd/man/ecd.y0_isomorphic.Rd
ecd/man/ecld.ivol_ogf_star.Rd
ecd/man/ecld.solve.Rd
ecd/man/ecld.imnt.Rd
ecd/man/ecd.Rd
ecd/man/write.ecdb.Rd
ecd/man/ecld.y_slope.Rd
ecd/man/ecd.df2ts.Rd
ecd/man/ecop.bs_option_price.Rd
ecd/man/ecd.sd.Rd
ecd/man/ecld.const.Rd
ecd/man/ecdattr.pairs_polar.Rd
ecd/man/ecd.setup_const.Rd
ecd/man/ecld.sd.Rd
ecd/man/ecld.moment.Rd
ecd/man/ecd.solve_cusp_asym.Rd
ecd/man/ecd.polar.Rd
ecd/man/ecd.lag.Rd
ecd/man/ecdattr.Rd
ecd/man/ecd.erfq.Rd
ecd/man/ecop.opt-class.Rd
ecd/man/ecop.term_master_calculator.Rd
ecd/man/ecdb.dbSendQuery.Rd
ecd/man/ecd.toString.Rd
ecd/man/ecld.quartic_Qp_atm_attr.Rd
ecd/man/ecdattr.pairs.Rd
ecd/man/ecop.plot_option.Rd
ecd/man/ecdb.protectiveCommit.Rd
ecd/man/ecld.mpnum.Rd
ecd/man/ecdq-class.Rd
ecd/man/ecd.manage_hist_tails.Rd
ecd/man/ecd.pdf.Rd
ecd/man/history.ecdb.Rd
ecd/man/read.ecdb.Rd
ecd/man/ecld.gamma.Rd
ecd/man/ecd.cusp.Rd
ecd/man/ecd.fit_ts_conf.Rd
ecd/man/ecld.ogf.Rd
ecd/man/ecld.mu_D.Rd
ecd/man/y_slope.ecd.Rd
ecd/man/ecld.quartic_Qp.Rd
ecd/man/ecd.asymp_stats.Rd
ecd/man/ecdb.Rd
ecd/man/ecd.data_stats.Rd
ecd/man/ecd.ts_lag_stats.Rd
ecd/man/solve_trig.ecd.Rd
ecd/man/moment.ecd.Rd
ecd/man/ecd.uniroot.Rd
ecd/man/ecld.sged_const.Rd