Elliptic Lambda Distribution and Option Pricing Model

bootstrap.ecdb | Bootstrap data for the Elliptic DB (ECDB) |

dec | The Elliptic Distribution |

discr.ecd | Discriminant of the elliptic curve y(x) |

dstablecnt | Stable Count distribution |

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) |

k2mnt | Conversion between cumulants and moments |

lamp | Constructor of lamp class |

lamp-class | An S4 class to represent the lambda process |

lamp.generate_tau | Generate tau from stable distribution |

lamp.plot_sim4 | Plot the simulation result in standard layout |

lamp.qsl_fit_config | Read QSLD fit config |

lamp.qsl_fit_plot | Plot the fit to asset returns using quartic stable lambda... |

lamp.sd_factor | Calculate sd adjustment factor |

lamp.simulate1 | Simulate one sequence of lambda process from stable... |

lamp.simulate_iter | Simulate lambda process from stable distribution iteratively |

lamp.stable_rnd_walk | Calculate the stable random walk |

levy.dlambda | Standard Lambda distribution |

levy.domain_coloring | Domain coloring of Laplace kernel of lambda distribution |

levy.dskewed | Skewed Levy distribution in Levy statistics |

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 |

rlaplace0 | Laplace distribution |

rlihnlap | Lihn-Laplace process and distribution |

rqsl | Stable lambda distribution |

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) |

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