ecd: Elliptic Distribution and Lambda Option Pricing Model

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.

AuthorStephen H-T. Lihn [aut, cre]
Date of publication2017-01-06 23:30:45
MaintainerStephen H-T. Lihn <stevelihn@gmail.com>
LicenseArtistic-2.0
Version0.8.3
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2707810

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.diff: Utility to diff a vector of numeric or mpfr to get first...

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.fixed_point_SN0_atm_ki: The ATM RNO related constants and calculations in fixed point...

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_Q: The Q operator in option pricing model

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.find_fixed_point_lambda_by_atm_skew: Utility to find the fixed point lambda that matches ATM skew

ecop.find_fixed_point_sd_by_lambda: Utility to find the fixed point stdev when lambda is given

ecop.from_symbol_conf: Constructor of ecop class by read conf for option sample data

ecop.get_ld_triple: Get triple list of ecld objects by stdev

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

ecop.vix_plot_3x3: Produce 3x3 plot of VIX 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/vxv_archive_7.csv.zip
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/ecd-diff-method.R ecd/R/ecld-constructor.R ecd/R/ecd-plot-2x2-generic.R ecd/R/ecop-find-fixed-point-lambda-by-atm-skew-method.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-fixed-point-RN0-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/ecop-find-fixed-point-sd-by-lambda-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/ecld-op-Q-method.R ecd/R/ecld-quartic-RN0-method.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/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/ecop-get-ld-triple-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-vix-plot-3x3-method.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/ecld.op_Q.Rd ecd/man/discr.ecd.Rd ecd/man/ecld-class.Rd ecd/man/ecd.rational.Rd ecd/man/ecdq.Rd ecd/man/ecop.find_fixed_point_lambda_by_atm_skew.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/ecd.diff.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.fixed_point_SN0_atm_ki.Rd ecd/man/ecld.moment.Rd ecd/man/ecd.solve_cusp_asym.Rd ecd/man/ecop.vix_plot_3x3.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/ecop.find_fixed_point_sd_by_lambda.Rd ecd/man/ecop.get_ld_triple.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

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