ODEstructsForSim: Calculate vectors and matrices for propagation equations in a...

In piotrek-orlowski/affineModelR: Affine Jump Diffusion Models for R

Calculate vectors and matrices for propagation equations in a N-factor model with co-jumps in the underlying and the first volatility factor

Description

Calculate vectors and matrices for propagation equations in a N-factor model with co-jumps in the underlying and the first volatility factor

Usage

ODEstructsForSim(
  params.P = NULL,
  params.Q,
  jumpTransformPointer = getPointerToJumpTransform(fstr = "expNormJumpTransform"),
  N.factors,
  rf.rate = 0,
  mod.type = "standard"
)

Arguments

params.P	A structure containing the volatility factor + jump descriptions under measure P
params.Q	A structure containing the volatility factor + jump descriptions under measure Q
N.factors	The number of stochastic volatility factors (stock is not a factor)
rf.rate	risk-free rate
jumpTransform	Pointer to the basic jumpTransform c++ function. Via this mechanism it is easy for the user to provide their external jump transform functions for both simulation and ODE calculations.

Value

Return a list with elements terms.dt, terms.vdt, terms.vdW, terms.vdWort, vterms.dt, vterms.vdt, vterms.vdW, jmpPar, intensity.terms. These are all elements for simulating the N-factor model.

piotrek-orlowski/affineModelR documentation built on July 11, 2022, 3:25 p.m.