ecop.find_fixed_point_sd_by_lambda | R Documentation |
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.
ecop.find_fixed_point_sd_by_lambda( fn_get_ld1, lambda, beta = 0, otype = "c", verbose = FALSE )
fn_get_ld1 |
function, takes stdev, lambda, beta as input, return ld1 object
via |
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: |
numeric, representing stdev.
Stephen H-T. Lihn
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