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ecd (version 0.6.4)

Elliptic Distribution Based on Elliptic Curves

Description

An implementation of the univariate elliptic distribution and elliptic option pricing model. It provides detailed functionality and data sets for the distribution and modelling. Especially, it contains functions for the computation of density, probability, quantile, fitting procedures, option prices, volatility smile. It also comes with sample financial data, and plotting routines.

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Version

Install

install.packages('ecd')

Monthly Downloads

57

Version

0.6.4

License

Artistic-2.0

Maintainer

Stephen Lihn

Last Published

January 4th, 2016

Functions in ecd (0.6.4)

Generate or solve the cubic polynomial for ecd

ecd.read_csv_by_symbol

Read csv file of sample data

An S4 class to represent the top-level option model

Constructor of ecdb class for the elliptic database

Polar constructor of ecd class

Utility to convert a numeric to a rational

Incomplete gamma function and asymptotic expansion

Standard 2x2 plot for sample data

ecop.bs_implied_volatility

Implied volatility of Black-Sholes model

Wrapper to convert mpfr to numeric

ecdattr.pairs_polar

Create a list of basic ecdattr objects in polar coordinate

List of history in the Elliptic DB

J-invariant of the elliptic curve $y(x)$

Compute statistics of an ecd object

ecd.cusp_std_moment

The moments, characteristic function (CF), and moment generating function (MGF) of standard cusp distribution.

String representation of ecd

Standard deviation, variance, mean, skewness, and kurtosis of ecd

ecd.fit_ts_conf

Timeseries fitting utility

Constructor of ecld class

Constructor of ecdq class

integrate_pdf.ecd

Integrate a function with PDF of the distribution

Analytic solution for $y(x)$ in lambda distribution

Wrapper to convert numeric to mpfr

Constructor of ecd class

ecd.read_symbol_conf

Read conf for sample data

Wrappers for ecd to maintain consistent type between mpfr and numeric

ecdb.protectiveCommit

Protective commit

Incomplete moment (imnt) of ecld

Compute the moment of ecd via integration

ecd.solve_cusp_asym

Trigonometric solution for asymmetric cusp distribution

Summary for the Elliptic DB (ECDB)

The Elliptic Distribution

Complementary CDF of ecd

Cusp constructor of ecd class

An S4 class to represent the lambda distribution

CDF and CCDF of ecld

An S4 class to represent the option data and model calculation

ecd.max_kurtosis

Utility to calculate where the maximum kurtosis is on the positive j=0 line

ecop.read_csv_by_symbol

Read option data csv

ecop.from_symbol_conf

Constructor of ecop class by read conf for option sample data

Discriminant of the elliptic curve $y(x)$

Incomplete MGF of ecd

Create a list of basic ecdattr objects

Conversion between alpha and gamma for cusp distribution

Statistics and histogram on log returns

Analytic solution for a symmetric elliptic curve

Option generating function of ecd

ecd.manage_hist_tails

Manage histogram tails

setClass for ecdb class

Solve the elliptic curve $y(x)$

ecd.y0_isomorphic

The analytic solution of $y(0)$ via isomorphic mapping.

ecd: A package for the elliptic distribution.

Read sample data

Enrich a basic ecdattr object

Discriminant-adjusted gamma

The term structure of ecld symmetric MGF

ecdb.dbSendQuery

Send query to the elliptic database

Calculate the PDF of an ecd object

Utility to shift a vector of numeric or mpfr

Wrapper to integrate numeric and mpfr

The O, V, U operators in option pricing model

ecd.has_quantile

Whether the ecd object has quantile data or not

ecd.setup_const

Integration preprocessor for an ecd object

Incomplete moment generating function (IMGF) of ecld

ecop.polyfit_option

Poly fit on option prices

Read API for the ecdb

Star OGF of ecld

Constructor of ecdattr class for the Elliptic Database (ECDB)

numericMpfr-class

The numericMpfr class

ecd.estimate_const

Estimate the normalization constant for an ecd object

Uniroot wrapper

Wrappers for ecld to maintain consistent type between mpfr and numeric

Option generating function (OGF) of ecld

setClass for ecdq class

Analytic solution of the normalization constant for lambda distribution

The moments and MGF of ecld

Trigonometric solution for a elliptic curve

Add the quantile data to the ecd object

ecd.ts_lag_stats

Lag statistics on timeseries of log returns

ecld.ivol_ogf_star

Calculate implied volatility using star OGF and small sigma formula

ecop.bs_option_price

Calculate option price from implied volatility in Black-Sholes model

Bootstrap data for the Elliptic DB (ECDB)

Analytic solution for the slope of $y(x)$ in lambda distribution

ecop.plot_option

Plot option chain charts using conf from option sample data

Calculate the PDF of an ecld object

Utility to integrate mpfr with infinity via qagi

Sample data fit

ecld.sged_const

The integral solutions of SGED

ecd.asymp_stats

Compute asymptotic statistics of an ecd object

Write API for the ecdb for a list of basic ecdattr objects

ecldOrEcd-class

The ecldOrEcd class

An S4 class to represent the ecdattr row in the Elliptic Database (ECDB)

ellipticity.ecd

Ellipticity of ecd object

Utility to standardize timeseries from data.frame to xts

Compute statistics analytically for an ecld object

Slope of $y(x)$