ecop.find_fixed_point_sd_by_lambda: Utility to find the fixed point stdev when lambda is given
In ecd: Elliptic Lambda Distribution and Option Pricing Model

ecop.find_fixed_point_sd_by_lambda

R Documentation

Utility to find the fixed point stdev when lambda is given

Description

This utility finds the fixed point stdev when lambda is given. Other smile related parameters are abstracted away via the closure function fn_get_ld1. This utility is used primarily to solve the fixed point ATM hypothesis (for VIX option smile). Note that this utility alone is not the full solution. Another utility is needed to match the ATM skew, and the two tails (via mu and epsilon). fn_get_ld1 should have the functional signature of fn_get_ld1(sd, lambda, beta=0) and returns an ecld object accordingly.

Usage

ecop.find_fixed_point_sd_by_lambda(
  fn_get_ld1,
  lambda,
  beta = 0,
  otype = "c",
  verbose = FALSE
)

Arguments

`fn_get_ld1`	function, takes stdev, lambda, beta as input, return ld1 object via `ecop.get_ld_triple`. This closure function encapulates mu_plus_ratio, epsilon_ratio, atm_imp_k.
`lambda`	numeric, the lambda parameter. Must be positive. Default: 3.
`beta`	numeric, the skewness parameter. Default: 0.
`otype`	character, option type. Default: "c".
`verbose`	boolean, print debug message. Default: `FALSE`.