ecop.get_ld_triple: Get triple list of ecld objects by stdev

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Get triple list of ecld objects by stdev

Description

Construct triple list of ecld objects by stdev, with lambda, and ratios related to stdev. This utility is used primarily in fixed point ATM hypothesis (when simulating VIX option smile).

Usage

ecop.get_ld_triple(
  lambda = 3,
  sd = 1,
  beta = 0,
  mu_plus_ratio = 0,
  epsilon_ratio = 0,
  atm_imp_k = NaN,
  fn_shift = NULL
)

Arguments

lambda	numeric, the lambda parameter. Must be positive. Default: 3.
sd	numeric, the stdev parameter. Must be positive. Default: 1.
beta	numeric, the skewness parameter. Default: 0.
mu_plus_ratio	numeric, numeric, excess value in addition to mu_D, relative to the stdev. Default: 0.
epsilon_ratio	numeric, epsilon ratio relative to the stdev. Default: 0.
atm_imp_k	numeric, ATM implied log-strike. It is derived from ATM volatility times sqare root of time to expiration. If provided, it is used to calculate the fixed point shift, -(atm_imp_k - mu). Default: NaN. the rho slot in ld1 is populated with the value.
fn_shift	function, takes an ecld object and return the fixed point shift, -(atm_imp_k - mu). the rho slot in ld1 is populated with the value from this function. This serves as secondary method if you don't want to provide atm_imp_k directly.

Value

a triple list of ecld objects. ld0 has mu=0 as vanila object; ld1 has mu and rho as prescribed; ld2 has mu=mu_D.

Author(s)

Stephen H-T. Lihn

Examples

lds <- ecop.get_ld_triple(3, 0.1)
ld1 <- lds$ld1

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