lamp-class

The <code>lamp</code> class serves as an object-oriented interface for the lambda process.
The main purpose of the class is to store all the parameters required for simulation.

LAMP

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

lamp-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, lambda index of lambda process, which is 2/alpha.</dd><dt><code>alpha</code></dt><dd>numeric, stable alpha. This is derived from lambda for convenience reason.</dd><dt><code>beta</code></dt><dd>numeric, stable beta.</dd><dt><code>pm</code></dt><dd>numeric, parameterization, default to 1.</dd><dt><code>rnd.walk</code></dt><dd>numeric, Random walk method. Default is 1.</dd><dt><code>sd</code></dt><dd>numeric, standard deviation adjustment. No adjustment if NaN.</dd><dt><code>sd.method</code></dt><dd>numeric, methodology of sd adjustment. 0 means in scale parameter, 1 means in Levy sums.</dd><dt><code>T.inf</code></dt><dd>numeric, the infinite bound to cut off the Levy sums.</dd><dt><code>rnd.n</code></dt><dd>numeric, the length of one rnd call.</dd><dt><code>N.lower</code></dt><dd>numeric, the lower bound of N to truncate the boundary effect. Default is 0.</dd><dt><code>N.upper</code></dt><dd>numeric, the upper bound of N to limit the outliers. Default is 1000.</dd><dt><code>use.mpfr</code></dt><dd>logical, use Mpfr for high precision sums.</dd><dt><code>file</code></dt><dd>character, file path to save the object and simulation result.</dd><dt><code>tau</code></dt><dd>numeric, storage for the stable random variables.</dd><dt><code>tau_i</code></dt><dd>numeric, for internal use, length or index of tau.</dd><dt><code>Z_i</code></dt><dd>numeric, length of Z.</dd><dt><code>Z</code></dt><dd>numeric, simulation result of the lambda process, Z.</dd><dt><code>B</code></dt><dd>numeric, simulation result of the binomial process, B.</dd><dt><code>N</code></dt><dd>numeric, simulation result of the count process, N.</dd><dt><code>tm</code></dt><dd>POSIXct, timestamp of simulation.</dd>

lamp-class: An S4 class to represent the lambda process

Description

Arguments

Slots