divSwapRates: Divergence pricing

In piotrek-orlowski/divergenceModelR: Divergence pricing and divergence-based affine model estimation

Description

Calculation of prices of divergence swaps, divergence-based skewness and kurtosis swaps. All swaps are scale-free, that is they are swaps on the return. The _base functions calculate prices of components: unscaled divergence, unscaled x^p \log{x} divergence, unscaled x^p \log^2{x} divergence.

Usage

divergenceSwapRate(p, params.Q, t.vec, vol.mat,
  jumpTransform = getPointerToJumpTransform("expNormJumpTransform"),
  mod.type, ...)

skewSwapRate(p, params.Q, t.vec, vol.mat, jumpTransform, mod.type, ...)

quartSwapRate(p, params.Q, t.vec, vol.mat, jumpTransform, mod.type, ...)

Arguments

p	divergence power. For skewness and kurtosis contracts, expansions will be taken around the Dp divergence.
params.Q	Q measure parameters
t.vec	T-length vector of divergence swap maturities
vol.mat	S x N.factors matrix of variance states
...	further arguments to ODE solvers

Value

S x T matrix of divergence swap prices

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