ecd (version 0.9.2.4)

ecld.quartic_Qp: The ATM volatility and skew of \(Q_p\) in quartic model

Description

Compute the ATM location and ATM skew of \(Q_p\) in quartic model.

Usage

ecld.quartic_Qp(object, ki)
ecld.quartic_Q(object, ki, otype)
ecld.quartic_Qp_atm_ki(object, lower = -50, upper = -1.37)
ecld.quartic_Qp_rho(object, atm_ki = NaN, lower = -50, upper = -1.37)
ecld.quartic_Qp_skew(object, ki, dki = 0.1)
ecld.quartic_Qp_atm_skew(object, dki = 0.1, lower = -50, upper = -1.37)

Arguments

object

an object of ecd class

ki

numeric, order of the moment to be computed

otype

character, specifying option type with either c or p.

lower

numeric, optional value to specify the lower bound of ATM root finding. This is often needed when the smile is collapsed in the left wing.

upper

numeric, optional value to specify the upper bound of ATM root finding This is often needed when the smile is collapsed significantly in the right wing.

atm_ki

numeric, if provided, take it as is without calculating again

dki

numeric, delta of ki for calculating slope

Value

numeric

Examples

# NOT RUN {
    ld <- ecld.quartic(sigma=0.001*ecd.mp1, epsilon=0, rho=0, mu_plus=0)
    ecld.quartic_Qp_atm_ki(ld, lower=-12, upper=-11)
    ecld.quartic_Qp_atm_skew(ld, lower=-12, upper=-11)
# }