lamp-class: An S4 class to represent the lambda process
In ecd: Elliptic Lambda Distribution and Option Pricing Model

lamp-class

R Documentation

An S4 class to represent the lambda process

Description

The lamp class serves as an object-oriented interface for the lambda process. The main purpose of the class is to store all the parameters required for simulation.

Slots

call: the match.call slot.
lambda: numeric, lambda index of lambda process, which is 2/alpha.
alpha: numeric, stable alpha. This is derived from lambda for convenience reason.
beta: numeric, stable beta.
pm: numeric, parameterization, default to 1.
rnd.walk: numeric, Random walk method. Default is 1.
sd: numeric, standard deviation adjustment. No adjustment if NaN.
sd.method: numeric, methodology of sd adjustment. 0 means in scale parameter, 1 means in Levy sums.
T.inf: numeric, the infinite bound to cut off the Levy sums.
rnd.n: numeric, the length of one rnd call.
N.lower: numeric, the lower bound of N to truncate the boundary effect. Default is 0.
N.upper: numeric, the upper bound of N to limit the outliers. Default is 1000.
use.mpfr: logical, use Mpfr for high precision sums.
file: character, file path to save the object and simulation result.
tau: numeric, storage for the stable random variables.
tau_i: numeric, for internal use, length or index of tau.
Z_i: numeric, length of Z.
Z: numeric, simulation result of the lambda process, Z.
B: numeric, simulation result of the binomial process, B.
N: numeric, simulation result of the count process, N.
tm: POSIXct, timestamp of simulation.