momentCondition: This function calculates the general iterative moment...

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

Description

This function calculates the general iterative moment condition that can be used for moment based model calibration. Futures prices (with some long expiry) are assumed for the stock!

Usage

momentCondition(params.P, params.Q, condition.struct,
  conditional = FALSE, atol = 1e-30, rtol = 1e-12, rtol.Q = rtol,
  N.factors = (length(params.P) - 1),
  jumpTransform = getPointerToJumpTransform("expNormJumpTransform")$TF,
  mod.type = "standard", ...)

Arguments

params.P	a list of structures that describe the P behaviour of the volatility factors + underlying jumps
params.Q	a list of structures that describe the Q behaviour of the volatility factors + underlying jumps
condition.struct	a list containing the data frames of relative timings, the frequency + maturity pairs and the required powers / combination coefficients / linear transformation matrix
atol	absolute tolerance required of the solution (this should be set very low in general)
rtol	relative tolerance required of the solution (the number of correct digits we require)
...	further arguments passed to twoFactorJumpODEsSolveP

Value

Returns the value (unconditional P expectation) of the specified product.

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