ODEstructs: ODE specification structures
In piotrek-orlowski/affineModelR: Affine Jump Diffusion Models for R

ODEstructs

R Documentation

ODE specification structures

Description

This function translates the parameters lists (see jumpDiffusionODEs) to model specification matrices and vectors for ODE solution. Expand this function if you want to add other specifications.

Usage

ODEstructs(params, jumpTransform, mkt, N.factors, mod.type = "standard")

Arguments

`params`	A structure containing the volatility factor + jump descriptions.
`jumpTransform`	String, the function that calculates the jump transform.
`N.factors`	The number of stochastic volatility factors (stock is not a factor).
`mod.type`	string. `"standard"` forces the basic DPS 'concrete example' parametrisation, `"cascade.vol"` allows for richer vol-of-vol structure

Details

using mod.type = "cascade.vol" allows that the vol of vol of the first factor is an affine function of other factors. The constraint is that this factor can't have a leverage effect (i.e. its rho parameter must be 0), otherwise you're not in the affine setting.