Files in piotrek-orlowski/divergenceModelR

Divergence pricing and divergence-based affine model estimation

.gitignore

DESCRIPTION

LICENSE

NAMESPACE

R/RcppExports.R R/VIXfutures.R R/condRegularize.R R/conditionGeneratePortfolio.R R/conditionManipulateAdd.R R/conditionManipulateCompactiffy.R R/conditionManipulateMultiply.R R/conditionStockChange.R R/conditionVolChange.R R/divergenceModelR-internal.R R/divergencePricing.R R/hedgedReturn.R R/integrVarRP.R R/meanAndcovList.R R/modelEvaluation.R R/modelSpecificationAndEstimation.R R/momentCondition.R R/specMakers.R README.md

inst/include/divergenceModelR.h

inst/test/testing-UKF-2Fmodel.R inst/test/testing-UKFimplementation.R inst/test/testing-portfolio-state-dynamics-implementation.R inst/test/testing-state-dynamics-implementation.R man/condAdd.Rd man/condCompactify.Rd man/condGeneratePortfolio.Rd man/condMultiply.Rd man/condRegularize.Rd man/condStockChange.Rd man/condVolChange.Rd man/divSwapRates.Rd man/filterCaller.Rd man/hedged.return.Rd man/integrVarRP.Rd man/modLik.Rd man/modSetup.Rd man/modelDynamics.Rd man/modelEvaluation.Rd man/momentCondition.Rd man/vixfut.Rd

src/AC_sqrtFilter.cpp

src/DSQ_portfolio_sqrtFilter.cpp

src/DSQ_sqrtFilter.cpp

src/Makevars

src/Makevars.win

src/RcppExports.cpp

src/affineAdditiveStateController.cpp

src/affineObservationStateHandler.cpp

src/affineObservationStateHandler_affineContracts.cpp

src/affineObservationStateHandler_cumulant.cpp

src/affineObservationStateHandler_optionPortfolios.cpp

src/affineObservationStateHandler_optionPortfolios_noStock.cpp

src/affineTransitionStateHandler.cpp

src/cirIntExp.cpp

src/cirIntExp.h

src/covMat.cpp

src/covMat.h

src/cumulant_DS_sqrtFilter.cpp

src/divObsNoiseMat.cpp

src/divObsNoiseMat.h

src/divergencePricing.cpp

src/divergencePricing.h

src/gaussLaguerrePricer_cpp.cpp

src/handlers.h

src/linCombMean.cpp

src/linCombMean.h

src/luComplex.cpp

src/meanVec.cpp

src/meanVec.h

src/stateAdmissibilityControl.h

src/testAffineFilter.cpp

src/transformOptionPricer.h

piotrek-orlowski/divergenceModelR documentation built on July 21, 2020, 11:51 a.m.