ecld: Constructor of ecld class

In ecd: Elliptic Lambda Distribution and Option Pricing Model

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. ecld.from_sd calculates sigma from a given sd and renders a vanila ecld object.

Usage

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)

ecld.from_sd(lambda = 3, sd = 1, beta = 0, mu = 0)

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.
sd	numeric, the scale parameter expressed in stdev instead of sigma. Internally, It is converted to sigma via uniroot on ecld.sd. Must be positive. Default: 1.

Value

an object of ecld class

Author(s)

Stephen H-T. Lihn

Examples

ld <- ecld()
ld <- ecld(2, 0.01)
ld <- ecld.from_sd(3, 0.1)

ecd documentation built on May 10, 2022, 1:07 a.m.