ecop.opt-class


The <code>ecop.opt</code> class serves as an object-oriented container for
the type-specific (p or c) option data.


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.opt-class function

 <dl>
<dt><code>call</code></dt><dd>the match.call slot</dd> <dt><code>otype</code></dt><dd>character, option type</dd> <dt><code>range.from</code></dt><dd>numeric, starting price range</dd> <dt><code>range.to</code></dt><dd>numeric, ending price range</dd> <dt><code>momentum</code></dt><dd>numeric, momentum for tranlation (T) operator</dd> <dt><code>epsilon</code></dt><dd>numeric, asymptotic premium</dd> <dt><code>k_cusp</code></dt><dd>numeric, the suggested cusp location for poly fit of prices</dd> <dt><code>ecldOrEcd</code></dt><dd>the ecld/ecd class to calculate theoretical values in local regime</dd> <dt><code>S</code></dt><dd>underyling price, this can be overriden by conf</dd> <dt><code>S_raw</code></dt><dd>underyling price (before override)</dd> <dt><code>strike</code></dt><dd>strike price</dd> <dt><code>k</code></dt><dd>log-strike price</dd> <dt><code>V_last</code></dt><dd>last option price</dd> <dt><code>V_bid</code></dt><dd>bid option price</dd> <dt><code>V_ask</code></dt><dd>ask option price</dd> <dt><code>V</code></dt><dd>finalized option price (likely mid-point)</dd> </dl>

ecop.opt-class: An S4 class to represent the option data and model calculation

Description

Arguments

Slots