solveExtendedODE: C++ extended ODE solve wraper

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

C++ extended ODE solve wraper

Description

This function passes the ODE parameters, in a specification defined via ODEstructs, to the C++ solution routines.

Usage

solveExtendedODE(
  u,
  mkt,
  K0,
  K1,
  l0,
  l1,
  H1,
  jmp,
  mf = 22,
  rtol = 1e-12,
  atol = 1e-30,
  N.factors = 3,
  jumpTransform = getPointerToJumpTransform(fstr = "expNormJumpTransform"),
  ...
)

Arguments

u	u Ux(N.factors+1) matrix of complex numbers
mkt	data.frame describing the market structure (times to maturity, interest rate, dividend yield, current stock price). See Details in jumpDiffusionODEs.
K0, K1, l0, l1, H1	output from ODEstructs, for details see DPS (2000).
jmp	jump parameters, element of params list from jumpDiffusionODEs.
mf, rtol, atol	ODE solution precision parameters, see jumpDiffusionODEs.
N.factors	number of stochastic volatility factors.
jumpTransform	string, name of jump transform type.

Details

This is an internal function not intended for the user.

Value

3-dim array of ODE solutions. Size: N x T x 4*(N.factors+1)

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