Constructor of ecld class

Description

Construct an ecld class by providing the required parameters. The default is the standard symmetric cusp distribution. The default also doesn't calculate any ecd extension. ecld.from allows you to pass the parameters from an existing ecd object. ecld.validate checks if an object is ecld class. ecld.quartic is a convenient constructor designed for quartic distribution.

Usage

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ecld(lambda = 3, sigma = 1, beta = 0, mu = 0, epsilon = NaN,
  rho = NaN, with.ecd = FALSE, with.mu_D = FALSE, with.RN = FALSE,
  is.sged = FALSE, verbose = FALSE)

ecld.from(object, with.ecd = FALSE, with.mu_D = FALSE, with.RN = FALSE,
  verbose = FALSE)

ecld.validate(object, sged.allowed = FALSE, sged.only = FALSE)

ecld.quartic(sigma, epsilon, rho, mu_plus_ratio = NaN, mu_plus = NaN)

Arguments

lambda

numeric, the lambda parameter. Must be positive. Default: 3.

sigma

numeric, the scale parameter. Must be positive. Default: 1.

beta

numeric, the skewness parameter. Default: 0.

mu

numeric, the location parameter. Default: 0.

epsilon

The supplemental residual premium for lambda transformation. It is default to NaN in ecld constructor since its meaning is not defined.

rho

The supplemental momentum shift for lambda transformation. It is default to NaN in ecld constructor since its meaning is not defined.

with.ecd

logical, also calculate the ecd object, default is FALSE.

with.mu_D

logical, also calculate the ecd risk-neutral drift, default is FALSE. If TRUE, this flag supercedes with.ecd. Also mu must set to zero.

with.RN

logical, also calculate the risk-neutral ecd object, default is FALSE. If TRUE, this flag supercedes with.mu_D.

is.sged

logical, if TRUE, interpret parameters as SGED.

verbose

logical, display timing information, for debugging purpose, default is FALSE.

object

an object of ecld class

sged.allowed

logical, used in ecld.validate to indicate if the function allows SGED.

sged.only

logical, used in ecld.validate to indicate if the function is only for SGED.

mu_plus, mu_plus_ratio

numeric, excess value in addition to mu_D. When ratio is provided, it is relative to the stdev.

Value

an object of ecld class

Author(s)

Stephen H-T. Lihn

Examples

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ld <- ecld()
ld <- ecld(2, 0.01)

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