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

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

ecld-class function

<dl class="dl-horizontal">
<dt><code>call</code></dt><dd>the match.call slot</dd></dl><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, but preferred to have value
if the object is to engage with OGF calculation.</dd><dt><code>epsilon</code></dt><dd>the residual risk, optional as a storage for lambda transformation</dd><dt><code>rho</code></dt><dd>the momentum shift, optional as a storage for lambda transformation</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>

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

Description

Arguments

Slots