Bootstrap data for the Elliptic DB (ECDB)
The Elliptic Distribution
Discriminant of the elliptic curve \(y(x)\)
Stable Count distribution
Constructor of ecd class
Discriminant-adjusted gamma
Compute asymptotic statistics of an ecd object
Complementary CDF of ecd
The ecd class
ecd: A package for the elliptic distribution.
Utility to diff a vector of numeric or mpfr to get first derivative
Quartic scaled error function
Timeseries fitting utility
Whether the ecd object has quantile data or not
Utility to convert a numeric to a rational
Read csv file of sample data
The moments, characteristic function (CF), and moment generating function (MGF)
of standard cusp distribution.
Read sample data
Utility to shift a vector of numeric or mpfr
Manage histogram tails
Integration preprocessor for an ecd object
Trigonometric solution for asymmetric cusp distribution
An S4 class to represent the lambda distribution
Statistics and histogram on log returns
Utility to standardize timeseries from data.frame to xts
Utility to calculate where the maximum kurtosis is on the positive j=0 line
Wrapper to convert mpfr to numeric
Constructor of ecld class
Incomplete moment generating function (IMGF) of ecld
Incomplete moment (imnt) of ecld
CDF of ecd
Generate or solve the cubic polynomial for ecd
Estimate the normalization constant for an ecd object
Sample data fit
Calculate the PDF of an ecd object
Wrappers for ecd to maintain consistent type between mpfr and numeric
Option generating function of ecd
The analytic solution of \(y(0)\) via isomorphic mapping.
An S4 class to represent the ecdattr row in the Elliptic Database (ECDB)
Send query to the elliptic database
Protective commit
Calculate implied volatility using star OGF and small sigma formula
The term structure of ecld symmetric MGF
Star OGF of ecld
The Q operator in option pricing model
Cusp constructor of ecd class
Conversion between alpha and gamma for cusp distribution
Incomplete MGF of ecd
Wrapper to integrate numeric and mpfr
Polar constructor of ecd class
Lag statistics on timeseries of log returns
Uniroot wrapper
setClass for ecdq class
Read conf for sample data
Standard deviation, variance, mean, skewness, and kurtosis of ecd
Constructor of ecdattr class for the Elliptic Database (ECDB)
Enrich a basic ecdattr object
Create a list of basic ecdattr objects
Create a list of basic ecdattr objects in polar coordinate
The moments and MGF of ecld
Wrappers for ecld to maintain consistent type between mpfr and numeric
The ATM RNO related constants and calculations in quartic model
Compute statistics analytically for an ecld object
Calculate option price from implied volatility in Black-Sholes model
ecop.find_fixed_point_lambda_by_atm_skew
Utility to find the fixed point lambda that matches ATM skew
Get triple list of ecld objects by stdev
An S4 class to represent the option data and model calculation
Constructor of lamp class
Constructor of ecdq class
ecld.fixed_point_SN0_atm_ki
The ATM RNO related constants and calculations in fixed point model
Incomplete gamma function and asymptotic expansion
The O, V, U operators in option pricing model
Calculate the PDF of an ecld object
Analytic solution for the slope of \(y(x)\) in lambda distribution
The ecldOrEcd class
Ellipticity of ecd object
List of history in the Elliptic DB
Wrapper to convert numeric to mpfr
Utility to integrate mpfr with infinity via qagi
Compute statistics of an ecd object
Plot the simulation result in standard layout
Read QSLD fit config
Standard 2x2 plot for sample data
Add the quantile data to the ecd object
Solve the elliptic curve \(y(x)\)
Analytic solution for a symmetric elliptic curve
String representation of ecd
setClass for ecdb class
Constructor of ecdb class for the elliptic database
CDF and CCDF of ecld
An S4 class to represent the top-level option model
ecop.bs_implied_volatility
Implied volatility of Black-Sholes model
Produce 3x3 plot of volatility smiles for a date
Produce 3x3 plot of VIX volatility smiles for a date
Plot the fit to asset returns using quartic stable lambda distribution
Calculate sd adjustment factor
Compute the moment of ecd via integration
Read API for the ecdb
Analytic solution of the normalization constant for lambda distribution
mu_D of ecld
Option generating function (OGF) of ecld
ecop.find_fixed_point_sd_by_lambda
Utility to find the fixed point stdev when lambda is given
Constructor of ecop class by read conf for option sample data
The numericMpfr class
Laplace distribution
Generate tau from stable distribution
Domain coloring of Laplace kernel of lambda distribution
Skewed Levy distribution in Levy statistics
Trigonometric solution for a elliptic curve
Summary for the Elliptic DB (ECDB)
Plot option chain charts using conf from option sample data
Poly fit on option prices
Conversion between cumulants and moments
An S4 class to represent the lambda process
Simulate one sequence of lambda process from stable distribution
Simulate lambda process from stable distribution iteratively
The ATM volatility and skew of \(Q_p\) in quartic model
Calculate ATM attributes from key quartic parameters
The integral solutions of SGED
Analytic solution for \(y(x)\) in lambda distribution
Read option data csv
ecop.term_master_calculator
Master calculator for all the analytics of volatility smiles required for a date
Integrate a function with PDF of the distribution
Lihn-Laplace process and distribution
Stable lambda distribution
J-invariant of the elliptic curve \(y(x)\)
Calculate the stable random walk
Standard Lambda distribution
Write API for the ecdb for a list of basic ecdattr objects
Slope of \(y(x)\)