lamp: Constructor of lamp class

In ecd: Elliptic Lambda Distribution and Option Pricing Model

Constructor of lamp class

Description

Construct an lamp class by providing the required parameters. The default is the unit quartic lambda process.

Usage

lamp(
  lambda = NaN,
  T.inf = 86400 * 1000,
  rnd.n = 1e+06,
  alpha = NaN,
  beta = 0,
  rnd.walk = 1,
  sd = NaN,
  sd.method = 0,
  N.lower = 0,
  N.upper = 1000,
  file = character(0)
)

Arguments

lambda	numeric, the lambda parameter. Must be positive. Default is NaN.
T.inf	numeric, the infinite bound to cut off Levy sums. Default is 86400000.
rnd.n	numeric, the length of one rnd call. Default is 1000000.
alpha	numeric, optional, if you don't like to use lambda. Default is NaN. Either lambda or alpha must be specified with a positive number.
beta	numeric, the skewness parameter. Default: 0.
rnd.walk	numeric, random walk method, 1: Laplace, 2: Binomial/normal. Default is 1.
sd	numeric, standard deviation adjustment. No adjustment if NaN. Default is NaN.
sd.method	numeric, methodology of sd adjustment. 0 means in scale parameter, 1 means in Levy sums. Default is 0.
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.
file	character, file path to save the object and simulation result. Default is character(0).

Value

an object of lamp class

Author(s)

Stephen H-T. Lihn

Examples

lp <- lamp(4, T.inf=86400*1000000)

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