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