ecop-class


The <code>ecop</code> class serves as an object-oriented container for
the option pricing model. It does have a specific purpose at the moment -
that is, to produce all the data for the charts of the paper, based on
CBOE data structure. Therefore, user may not find it general enough.
That probably will be the case for the time being until more popularity calls
for a more generic container.


ecop

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

ecop-class function

 <dl>
<dt><code>call</code></dt><dd>the match.call slot</dd> <dt><code>conf</code></dt><dd>list, configuration</dd> <dt><code>key</code></dt><dd>character</dd> <dt><code>symbol</code></dt><dd>character</dd> <dt><code>datadate</code></dt><dd>Date</dd> <dt><code>days</code></dt><dd>numeric, days between datadate and expiry date</dd> <dt><code>ttm</code></dt><dd>numeric, time to maturity in days/365</dd> <dt><code>int_rate</code></dt><dd>numeric</dd> <dt><code>div_yield</code></dt><dd>numeric</dd> <dt><code>put_data</code></dt><dd>the put data of ecop.opt class</dd> <dt><code>call_data</code></dt><dd>the call data of ecop.opt class</dd> <dt><code>put_conf</code></dt><dd>list, the put configuration</dd> <dt><code>call_conf</code></dt><dd>list, the call configuration</dd> </dl>

ecop-class: An S4 class to represent the top-level option model

Description

Arguments

Slots