Man pages for piotrek-orlowski/divergenceModelR
Divergence pricing and divergence-based affine model estimation
| condAdd | This function takes two data frame lists which define... |
| condCompactify | This function takes a list of moment-condition defining data... |
| condGeneratePortfolio | Prepare elements for hedged GLT return moment calculation |
| condMultiply | This function takes two data frame lists which define... |
| condRegularize | Ensure that condition lists have uniform columns |
| condStockChange | Return condition list for stock return |
| condVolChange | Return condition list for approximate volatility change |
| divSwapRates | Divergence pricing |
| filterCaller | C++ filter call |
| hedged.return | Create condition structure for hedged option return |
| integrVarRP | Integrated variance risk premia |
| modelDynamics | Jump-diffusion model dynamics |
| modelEvaluation | Affine model evaluation |
| modLik | Affine model likelihood based on divergence prices |
| modSetup | Model setup - specification generators |
| momentCondition | This function calculates the general iterative moment... |
| vixfut | VIX index and VIX FUTURES pricing |
