ecop.term_plot_3x3

ecop.term_target_days_default

ecop.term_realized_days

ecop.term_idx_range

term structure data for one date, produced from <code>ecop.term_master_calculator</code>

term_data

character in the form of YYYY-MM-DD

date_str

integer, specifying number of data points to present in the plots

trim_points

target_days

logic, whether to add the first expiration date to <code>target_days</code>.
Default is <code>TRUE</code>.

add.first.day

logic, show bid smile for put option. Default is <code>FALSE</code>.

show.put.bid

list of days to expiration from market data

days

list of days realized for the plot

realized_days

This utlity produces 3x3 plot of volatility smiles for a date. It is used for the term structure paper.

datasets

structure

term

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

ecop.term_plot_3x3 function

An object of class <code>numeric</code> of length 8.

ecop.term_plot_3x3: Produce 3x3 plot of volatility smiles for a date

Description

Usage

Arguments

Value

Format