# simFunctional: Calculate the value of functional In yuima: The YUIMA Project Package for SDEs

## Description

Calculate the value of functional associated with sde by Euler scheme.

## Usage

 ```1 2 3``` ```simFunctional(yuima, expand.var="e") Fnorm(yuima, expand.var="e") F0(yuima, expand.var="e") ```

## Arguments

 `yuima` a `yuima` object containing model, functional and data. `expand.var` default expand.var="e".

## Details

Calculate the value of functional of interest. Fnorm returns normalized one, and F0 returns the value for the case small parameter epsilon = 0. In simFunctional and Fnorm, yuima MUST contains the 'data' slot (X in legacy version)

## Value

 `Fe` a real value

## Note

we need to fix this routine.

## Author(s)

YUIMA Project Team

## Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23``` ```set.seed(123) # to the Black-Scholes economy: # dXt^e = Xt^e * dt + e * Xt^e * dWt diff.matrix <- matrix( c("x*e"), 1,1) model <- setModel(drift = c("x"), diffusion = diff.matrix) # call option is evaluated by averating # max{ (1/T)*int_0^T Xt^e dt, 0}, the first argument is the functional of interest: Terminal <- 1 xinit <- c(1) f <- list( c(expression(x/Terminal)), c(expression(0))) F <- 0 division <- 1000 e <- .3 samp <- setSampling(Terminal = Terminal, n = division) yuima <- setYuima(model = model,sampling = samp) yuima <- setFunctional( yuima, xinit=xinit, f=f,F=F,e=e) # evaluate the functional value yuima <- simulate(yuima,xinit=xinit,true.par=e) Fe <- simFunctional(yuima) Fe Fenorm <- Fnorm(yuima) Fenorm ```

yuima documentation built on May 21, 2018, 5:04 p.m.