ecop-class: An S4 class to represent the top-level option model

In ecd: Elliptic Lambda Distribution and Option Pricing Model

An S4 class to represent the top-level option model

Description

The ecop class serves as an object-oriented container for the option pricing model. It does have a specific purpose at the moment - that is, to produce all the data for the charts of the paper, based on CBOE data structure. Therefore, user may not find it general enough. That probably will be the case for the time being until more popularity calls for a more generic container.

Slots

call

the match.call slot

conf

list, configuration

key

character

symbol

character

datadate

Date

days

numeric, days between datadate and expiry date

ttm

numeric, time to maturity in days/365

int_rate

numeric

div_yield

numeric

put_data

the put data of ecop.opt class

call_data

the call data of ecop.opt class

put_conf

list, the put configuration

call_conf

list, the call configuration

Author(s)

Stephen H-T. Lihn

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