ecld-class


The <code>ecld</code> class serves as an object-oriented interface for the lambda distribution. 
The <code>ecld</code> prefix will also be used as the namespace for many analytic formulai
derived in lambda distribution, especially when lambda = 1,2,3.
Because of the extensive use of analytic formulai and enhanced precision through
the unit distribution, MPFR is not needed in most cases. This makes option pricing
calculation in <code>ecld</code> much faster than its counterpart built on the more
general-purpose <code>ecd</code> library.


ecld

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.

Stephen Lihn

Elliptic Distribution Based on Elliptic Curves

ecld-class function

 <dl>
<dt><code>call</code></dt><dd>the match.call slot</dd> <dt><code>lambda</code></dt><dd>numeric</dd> <dt><code>sigma</code></dt><dd>numeric</dd> <dt><code>beta</code></dt><dd>numeric</dd> <dt><code>mu</code></dt><dd>numeric</dd> <dt><code>use.mpfr</code></dt><dd>logical, whether to use mpfr for ecld object. If any of the above parameters
is mpfr, then this flag is set to <code>TRUE</code>.</dd> <dt><code>is.sged</code></dt><dd>logical, if <code>TRUE</code>, interpret parameters as SGED.</dd> <dt><code>ecd</code></dt><dd>the companion object of ecd class (optional)</dd> <dt><code>mu_D</code></dt><dd>the risk-neutral drift (optional)</dd> <dt><code>ecd_RN</code></dt><dd>the risk-neutral companion object of ecd class (optional)</dd> <dt><code>status</code></dt><dd>numeric, bitmap recording the state of the calculation layers.
1: bare bone; 2: ecd; 4: mu_D; 8: ecd_RN</dd> </dl>

ecld-class: An S4 class to represent the lambda distribution

Description

Arguments

Slots