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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2007, Diethelm Wuertz, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# MOMENT MATCHING: DESCRIPTION:
# MomentMatchedAsianOption Valuate moment matched option prices
# .LevyTurnbullWakemanAsianOption Log-Normal Approximation
# .MilevskyPosnerAsianOption Reciprocal-Gamma Approximation
# .PosnerMilevskyAsianOption Johnson Type I Approximation
# MomentMatchedAsianDensity Valuate moment matched option densities
# .LevyTurnbullWakemanAsianDensity Log-Normal Approximation
# .MilevskyPosnerAsianDensity Reciprocal-Gamma Approximation
# .PosnerMilevskyAsianDensity Johnson Type I Approximation
# GRAM CHARLIER SERIES EXPANSION: DESCRIPTION:
# GramCharlierAsianOption Calculate Gram-Charlier option prices
# .GramCharlierAsianDensity NA
# STATE SPACE MOMENTS: DESCRIPTION:
# AsianOptionMoments Methods to calculate Asian Moments
# .DufresneAsianOptionMoments Moments from Dufresne's Formula
# .AbrahamsonAsianOptionMoments Moments from Abrahamson's Formula
# .TurnbullWakemanAsianOptionMoments First 2 Moments from Turnbull-Wakeman
# .TolmatzAsianOptionMoments Asymptotic Behavior after Tolmatz
# STATE SPACE DENSITIES: DESCRIPTION:
# StateSpaceAsianDensity NA
# .Schroeder1AsianDensity NA
# .Schroeder2AsianDensity NA
# .Yor1AsianDensity NA
# .Yor2AsianDensity NA
# .TolmatzAsianDensity NA
# .TolmatzAsianProbability NA
# PARTIAL DIFFERENTIAL EQUATIONS: DESCRIPTION:
# PDEAsianOption PDE Asian Option Pricing
# .ZhangAsianOption Asian option price by Zhang's 1D PDE
# ZhangApproximateAsianOption
# .VecerAsianOption Asian option price by Vecer's 1D PDE
# LAPLACE INVERSION: DESCRIPTION:
# GemanYorAsianOption Asian option price by Laplace Inversion
# gGemanYor Function to be Laplace inverted
# SPECTRAL EXPANSION: DESCRIPTION:
# LinetzkyAsianOption Asian option price by Spectral Expansion
# gLinetzky Function to be integrated
# BOUNDS ON OPTION PRICES: DESCRIPTION:
# BoundsOnAsianOption Lower and upper bonds on Asian calls
# CurranThompsonAsianOption From Thompson's continuous limit
# RogerShiThompsonAsianOption From Thompson's single integral formula
# ThompsonAsianOption Thompson's upper bound
# SYMMETRY RELATIONS: DESCRIPTION:
# CallPutParityAsianOption Call-Put parity Relation
# WithDividendsAsianOption Adds dividends to Asian Option Formula
# TABULATED RESULTS: DESCRIPTION:
# FuMadanWangTable Table from Fu, Madan and Wang's paper
# FusaiTaglianiTable Table from Fusai und tagliani's paper
# GemanTable Table from Geman's paper
# LinetzkyTable Table from Linetzky's paper
# ZhangTable Table from Zhang's paper
# ZhangLongTable Long Table from Zhang's paper
# ZhangShortTable Short Table from Zhang's paper
################################################################################
test.MomentMatchedAsianOption =
function()
{
# MomentMatchedAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.MomentMatchedAsianDensity =
function()
{
# MomentMatchedAsianDensity
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.GramCharlierAsianOption =
function()
{
# GramCharlierAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.AsianOptionMoments =
function()
{
# AsianOptionMoments
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.StateSpaceAsianDensity =
function()
{
# StateSpaceAsianDensity
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.PDEAsianOption =
function()
{
# PDEAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.GemanYorAsianOption =
function()
{
# GemanYorAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.LinetzkyAsianOption =
function()
{
# LinetzkyAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.BoundsOnAsianOption =
function()
{
# BoundsOnAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.CurranThompsonAsianOption =
function()
{
# CurranThompsonAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.RogerShiThompsonAsianOption =
function()
{
# RogerShiThompsonAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.ThompsonAsianOption =
function()
{
# ThompsonAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.CallPutParityAsianOption =
function()
{
# CallPutParityAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.WithDividendsAsianOption =
function()
{
# WithDividendsAsianOption
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.Table =
function()
{
# Table
# Return Value:
return()
}
# ------------------------------------------------------------------------------
if (FALSE) {
require(RUnit)
testResult <- runTestFile("C:/Rmetrics/SVN/trunk/fOptions/tests/runit3E.R",
rngKind = "Marsaglia-Multicarry", rngNormalKind = "Inversion")
printTextProtocol(testResult)
}
################################################################################
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