ecd-class

This S4 class is the major object class for elliptic distribution.
It stores the ecd parameters, numerical constants that facilitates
quadpack integration, statistical attributes, and optionally,
an internal structure for the quantile function.

class

Constructor

Elliptic lambda distribution and lambda option pricing model
have been evolved into a framework of
stable-law inspired distributions,
such as the extended stable lambda distribution for asset return,
stable count distribution for volatility,
and Lihn-Laplace process as a leptokurtic extension of Wiener process.
This package contains functions for the computation of
density, probability, quantile, random variable, fitting procedures,
option prices, volatility smile. It also comes with sample financial data,
and plotting routines.

Stephen Lihn

Elliptic Lambda Distribution and Option Pricing Model

ecd-class function

<dl class="dl-horizontal">
<dt><code>call</code></dt><dd>The match.call slot</dd></dl><dt><code>alpha,gamma,sigma,beta,mu</code></dt><dd>a length-one numeric.
These are core ecd parameters.</dd><dt><code>cusp</code></dt><dd>a length-one numeric as cusp indicator. 
0: not a cusp; 
1: cusp specified by <code>alpha</code>; 
2: cusp specified by <code>gamma</code>.</dd><dt><code>lambda</code></dt><dd>a length-one numeric, the leading exponent for the special model, default is 3.</dd><dt><code>R,theta</code></dt><dd>a length-one numeric. These are derived ecd parameters in polar coordinate.</dd><dt><code>use.mpfr</code></dt><dd>logical, internal flag indicating whether to use mpfr.</dd><dt><code>const</code></dt><dd>A length-one numeric as the integral of \(exp(y(x))\) that normalizes the PDF.</dd><dt><code>const_left_x</code></dt><dd>A length-one numeric marking the left point of PDF integration.</dd><dt><code>const_right_x</code></dt><dd>A length-one numeric marking the right point of PDF integration.</dd><dt><code>stats</code></dt><dd>A list of statistics, see <code>ecd.stats</code> for more information.</dd><dt><code>quantile</code></dt><dd>An object of ecdq class, for quantile calculation.</dd><dt><code>model</code></dt><dd>A vector of four strings representing internal classification:
<code>long_name.skew</code>, codelong_name,
<code>short_name.skew</code>, <code>short_name</code>.
This slot doesn't have formal use yet.</dd>

ecd-class: The ecd class

Description

Arguments

Slots