integrate_pdf.ecd: Integrate a function with PDF of the distribution

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Integrate a function with PDF of the distribution

Description

Integrate a function with PDF of the distribution. The integration is seperated into three segments to ensure convergence.

Usage

## S3 method for class 'ecd'
integrate_pdf(
  object,
  f,
  lower,
  upper,
  ...,
  show.warning = TRUE,
  verbose = FALSE
)

integrate_pdf(object, f, lower, upper, ...)

## S4 method for signature 'ecd'
integrate_pdf(
  object,
  f,
  lower,
  upper,
  ...,
  show.warning = TRUE,
  verbose = FALSE
)

Arguments

object	An object of ecd class
f	An R function taking a numeric first argument and returning a numeric vector of the same length. Returning a non-finite element will generate an error.
lower	Numeric, the lower limit of integration. Can be infinite.
upper	Numeric, the upper limit of integration. Can be infinite.
...	Addtional arguments for f.
show.warning	logical, display warning messages.
verbose	logical, display timing information, for debugging purpose.

Value

A list of class "integrate".

Author(s)

Stephen H. Lihn

Examples

d <- ecd()
integrate_pdf(d, function(x){x^2}, -Inf, Inf)

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