ecd (version 0.9.2.4)

ecop.get_ld_triple: Get triple list of ecld objects by stdev

Description

Construct triple list of ecld objects by stdev, with lambda, and ratios related to stdev. This utility is used primarily in fixed point ATM hypothesis (when simulating VIX option smile).

Usage

ecop.get_ld_triple(
  lambda = 3,
  sd = 1,
  beta = 0,
  mu_plus_ratio = 0,
  epsilon_ratio = 0,
  atm_imp_k = NaN,
  fn_shift = NULL
)

Arguments

lambda

numeric, the lambda parameter. Must be positive. Default: 3.

sd

numeric, the stdev parameter. Must be positive. Default: 1.

beta

numeric, the skewness parameter. Default: 0.

mu_plus_ratio

numeric, numeric, excess value in addition to mu_D, relative to the stdev. Default: 0.

epsilon_ratio

numeric, epsilon ratio relative to the stdev. Default: 0.

atm_imp_k

numeric, ATM implied log-strike. It is derived from ATM volatility times sqare root of time to expiration. If provided, it is used to calculate the fixed point shift, -(atm_imp_k - mu). Default: NaN. the rho slot in ld1 is populated with the value.

fn_shift

function, takes an ecld object and return the fixed point shift, -(atm_imp_k - mu). the rho slot in ld1 is populated with the value from this function. This serves as secondary method if you don't want to provide atm_imp_k directly.

Value

a triple list of ecld objects. ld0 has mu=0 as vanila object; ld1 has mu and rho as prescribed; ld2 has mu=mu_D.

Examples

# NOT RUN {
lds <- ecop.get_ld_triple(3, 0.1)
ld1 <- lds$ld1
# }