ecop.opt-class: An S4 class to represent the option data and model...

In ecd: Elliptic Lambda Distribution and Option Pricing Model

An S4 class to represent the option data and model calculation

Description

The ecop.opt class serves as an object-oriented container for the type-specific (p or c) option data.

Slots

call

the match.call slot

otype

character, option type

range.from

numeric, starting price range

range.to

numeric, ending price range

momentum

numeric, momentum for tranlation (T) operator

epsilon

numeric, asymptotic premium

k_cusp

numeric, the suggested cusp location for poly fit of prices

ecldOrEcd

the ecld/ecd class to calculate theoretical values in local regime

S

underyling price, this can be overriden by conf

S_raw

underyling price (before override)

strike

strike price

k

log-strike price

V_last

last option price

V_bid

bid option price

V_ask

ask option price

V

finalized option price (likely mid-point)

IV

implied volatility from the vendor

Author(s)

Stephen H. Lihn

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