| ecd |
Constructor of ecd class |
| ecd-class |
The ecd class |
| ecd.adj2gamma |
Discriminant-adjusted gamma |
| ecd.adj_gamma |
Discriminant-adjusted gamma |
| ecd.asymp_kurtosis |
Compute asymptotic statistics of an ecd object |
| ecd.asymp_stats |
Compute asymptotic statistics of an ecd object |
| ecd.ccdf |
Complementary CDF of ecd |
| ecd.cdf |
CDF of ecd |
| ecd.cubic |
Generate or solve the cubic polynomial for ecd |
| ecd.cusp |
Cusp constructor of ecd class |
| ecd.cusp_a2r |
Conversion between alpha and gamma for cusp distribution |
| ecd.cusp_r2a |
Conversion between alpha and gamma for cusp distribution |
| ecd.cusp_std_cf |
The moments, characteristic function (CF), and moment generating function (MGF) of standard cusp distribution. |
| ecd.cusp_std_mgf |
The moments, characteristic function (CF), and moment generating function (MGF) of standard cusp distribution. |
| ecd.cusp_std_moment |
The moments, characteristic function (CF), and moment generating function (MGF) of standard cusp distribution. |
| ecd.data |
Read sample data |
| ecd.data.arr |
Read sample data |
| ecd.data.ts |
Read sample data |
| ecd.data_stats |
Statistics and histogram on log returns |
| ecd.dawson |
Wrapper to convert numeric to mpfr |
| ecd.devel |
Wrapper to convert numeric to mpfr |
| ecd.df2ts |
Utility to standardize timeseries from data.frame to xts |
| ecd.diff |
Utility to diff a vector of numeric or mpfr to get first derivative |
| ecd.erf |
Wrapper to convert numeric to mpfr |
| ecd.erfc |
Wrapper to convert numeric to mpfr |
| ecd.erfcx |
Wrapper to convert numeric to mpfr |
| ecd.erfi |
Wrapper to convert numeric to mpfr |
| ecd.erfq |
Quartic scaled error function |
| ecd.erfq_sum |
Quartic scaled error function |
| ecd.estimate_const |
Estimate the normalization constant for an ecd object |
| ecd.fit_data |
Sample data fit |
| ecd.fit_ts_conf |
Timeseries fitting utility |
| ecd.gamma |
Wrapper to convert numeric to mpfr |
| ecd.has_quantile |
Whether the ecd object has quantile data or not |
| ecd.ifelse |
Wrappers for ecd to maintain consistent type between mpfr and numeric |
| ecd.imgf |
Incomplete MGF of ecd |
| ecd.integrate |
Wrapper to integrate numeric and mpfr |
| ecd.kurt |
Standard deviation, variance, mean, skewness, and kurtosis of ecd |
| ecd.kurtosis |
Standard deviation, variance, mean, skewness, and kurtosis of ecd |
| ecd.lag |
Utility to shift a vector of numeric or mpfr |
| ecd.manage_hist_tails |
Manage histogram tails |
| ecd.max_kurtosis |
Utility to calculate where the maximum kurtosis is on the positive j=0 line |
| ecd.mcsapply |
Wrappers for ecd to maintain consistent type between mpfr and numeric |
| ecd.mean |
Standard deviation, variance, mean, skewness, and kurtosis of ecd |
| ecd.mp1 |
Wrapper to convert numeric to mpfr |
| ecd.mp2f |
Wrapper to convert mpfr to numeric |
| ecd.mpfr |
Wrapper to convert numeric to mpfr |
| ecd.mpfr_qagi |
Utility to integrate mpfr with infinity via qagi |
| ecd.mpnum |
Wrappers for ecd to maintain consistent type between mpfr and numeric |
| ecd.mppi |
Wrapper to convert numeric to mpfr |
| ecd.mu_D |
Incomplete MGF of ecd |
| ecd.ogf |
Option generating function of ecd |
| ecd.pdf |
Calculate the PDF of an ecd object |
| ecd.polar |
Polar constructor of ecd class |
| ecd.rational |
Utility to convert a numeric to a rational |
| ecd.read_csv_by_symbol |
Read csv file of sample data |
| ecd.read_symbol_conf |
Read conf for sample data |
| ecd.sapply |
Wrappers for ecd to maintain consistent type between mpfr and numeric |
| ecd.sd |
Standard deviation, variance, mean, skewness, and kurtosis of ecd |
| ecd.setup_const |
Integration preprocessor for an ecd object |
| ecd.skewness |
Standard deviation, variance, mean, skewness, and kurtosis of ecd |
| ecd.solve_cusp_asym |
Trigonometric solution for asymmetric cusp distribution |
| ecd.stats |
Compute statistics of an ecd object |
| ecd.toString |
String representation of ecd |
| ecd.ts_lag_stats |
Lag statistics on timeseries of log returns |
| ecd.uniroot |
Uniroot wrapper |
| ecd.var |
Standard deviation, variance, mean, skewness, and kurtosis of ecd |
| ecd.y0_isomorphic |
The analytic solution of y(0) via isomorphic mapping. |
| ecdattr |
Constructor of 'ecdattr' class for the Elliptic Database (ECDB) |
| ecdattr-class |
An S4 class to represent the 'ecdattr' row in the Elliptic Database (ECDB) |
| ecdattr.enrich |
Enrich a basic 'ecdattr' object |
| ecdattr.pairs |
Create a list of basic 'ecdattr' objects |
| ecdattr.pairs_polar |
Create a list of basic 'ecdattr' objects in polar coordinate |
| ecdb |
Constructor of ecdb class for the elliptic database |
| ecdb-class |
setClass for ecdb class |
| ecdb.dbSendQuery |
Send query to the elliptic database |
| ecdb.protectiveCommit |
Protective commit |
| ecdq |
Constructor of ecdq class |
| ecdq-class |
setClass for ecdq class |
| ecld |
Constructor of ecld class |
| ecld-class |
An S4 class to represent the lambda distribution |
| ecld.ccdf |
CDF and CCDF of ecld |
| ecld.cdf |
CDF and CCDF of ecld |
| ecld.cdf_gamma |
CDF and CCDF of ecld |
| ecld.cdf_integrate |
CDF and CCDF of ecld |
| ecld.const |
Analytic solution of the normalization constant for lambda distribution |
| ecld.fixed_point_atm_ki |
The Q operator in option pricing model |
| ecld.fixed_point_atm_Q_left |
The Q operator in option pricing model |
| ecld.fixed_point_atm_Q_right |
The Q operator in option pricing model |
| ecld.fixed_point_shift |
The Q operator in option pricing model |
| ecld.fixed_point_SN0_atm_ki |
The ATM RNO related constants and calculations in fixed point model |
| ecld.fixed_point_SN0_atm_ki_sd |
The ATM RNO related constants and calculations in fixed point model |
| ecld.fixed_point_SN0_lambda_skew_ratio |
The ATM RNO related constants and calculations in fixed point model |
| ecld.fixed_point_SN0_rho_sd |
The ATM RNO related constants and calculations in fixed point model |
| ecld.fixed_point_SN0_skew |
The ATM RNO related constants and calculations in fixed point model |
| ecld.from |
Constructor of ecld class |
| ecld.from_sd |
Constructor of ecld class |
| ecld.gamma |
Incomplete gamma function and asymptotic expansion |
| ecld.gamma_2F0 |
Incomplete gamma function and asymptotic expansion |
| ecld.gamma_hgeo |
Incomplete gamma function and asymptotic expansion |
| ecld.ifelse |
Wrappers for ecld to maintain consistent type between mpfr and numeric |
| ecld.imgf |
Incomplete moment generating function (IMGF) of ecld |
| ecld.imgf_gamma |
Incomplete moment generating function (IMGF) of ecld |
| ecld.imgf_integrate |
Incomplete moment generating function (IMGF) of ecld |
| ecld.imgf_quartic |
Incomplete moment generating function (IMGF) of ecld |
| ecld.imnt |
Incomplete moment (imnt) of ecld |
| ecld.imnt_integrate |
Incomplete moment (imnt) of ecld |
| ecld.imnt_sum |
Incomplete moment (imnt) of ecld |
| ecld.ivol_ogf_star |
Calculate implied volatility using star OGF and small sigma formula |
| ecld.kurt |
Compute statistics analytically for an ecld object |
| ecld.kurtosis |
Compute statistics analytically for an ecld object |
| ecld.laplace_B |
Analytic solution for y(x) in lambda distribution |
| ecld.mclapply |
Wrappers for ecld to maintain consistent type between mpfr and numeric |
| ecld.mean |
Compute statistics analytically for an ecld object |
| ecld.mgf |
The moments and MGF of ecld |
| ecld.mgf_by_sum |
The moments and MGF of ecld |
| ecld.mgf_diterm |
The term structure of ecld symmetric MGF |
| ecld.mgf_quartic |
The moments and MGF of ecld |
| ecld.mgf_term |
The term structure of ecld symmetric MGF |
| ecld.mgf_term_original |
The term structure of ecld symmetric MGF |
| ecld.mgf_trunc |
The term structure of ecld symmetric MGF |
| ecld.mgf_trunc_max_sigma |
The term structure of ecld symmetric MGF |
| ecld.moment |
The moments and MGF of ecld |
| ecld.mpnum |
Wrappers for ecld to maintain consistent type between mpfr and numeric |
| ecld.mu_D |
mu_D of ecld |
| ecld.mu_D_by_sum |
mu_D of ecld |
| ecld.mu_D_integrate |
mu_D of ecld |
| ecld.mu_D_quartic |
mu_D of ecld |
| ecld.ogf |
Option generating function (OGF) of ecld |
| ecld.ogf_gamma |
Option generating function (OGF) of ecld |
| ecld.ogf_imnt_sum |
Option generating function (OGF) of ecld |
| ecld.ogf_integrate |
Option generating function (OGF) of ecld |
| ecld.ogf_log_slope |
Option generating function (OGF) of ecld |
| ecld.ogf_quartic |
Option generating function (OGF) of ecld |
| ecld.ogf_star |
Star OGF of ecld |
| ecld.ogf_star_analytic |
Star OGF of ecld |
| ecld.ogf_star_exp |
Star OGF of ecld |
| ecld.ogf_star_gamma_star |
Star OGF of ecld |
| ecld.ogf_star_hgeo |
Star OGF of ecld |
| ecld.op_O |
The O, V, U operators in option pricing model |
| ecld.op_Q |
The Q operator in option pricing model |
| ecld.op_Q_skew |
The Q operator in option pricing model |
| ecld.op_Q_skew_by_k_lm |
The Q operator in option pricing model |
| ecld.op_U_lag |
The O, V, U operators in option pricing model |
| ecld.op_V |
The O, V, U operators in option pricing model |
| ecld.op_VL_quartic |
The O, V, U operators in option pricing model |
| ecld.pdf |
Calculate the PDF of an ecld object |
| ecld.quartic |
Constructor of ecld class |
| ecld.quartic_model_sample |
Calculate ATM attributes from key quartic parameters |
| ecld.quartic_model_sample_attr |
Calculate ATM attributes from key quartic parameters |
| ecld.quartic_Q |
The ATM volatility and skew of Q_p in quartic model |
| ecld.quartic_Qp |
The ATM volatility and skew of Q_p in quartic model |
| ecld.quartic_Qp_atm_attr |
Calculate ATM attributes from key quartic parameters |
| ecld.quartic_Qp_atm_ki |
The ATM volatility and skew of Q_p in quartic model |
| ecld.quartic_Qp_atm_skew |
The ATM volatility and skew of Q_p in quartic model |
| ecld.quartic_Qp_rho |
The ATM volatility and skew of Q_p in quartic model |
| ecld.quartic_Qp_skew |
The ATM volatility and skew of Q_p in quartic model |
| ecld.quartic_SN0_atm_ki |
The ATM RNO related constants and calculations in quartic model |
| ecld.quartic_SN0_max_RNV |
The ATM RNO related constants and calculations in quartic model |
| ecld.quartic_SN0_rho_stdev |
The ATM RNO related constants and calculations in quartic model |
| ecld.quartic_SN0_skew |
The ATM RNO related constants and calculations in quartic model |
| ecld.sapply |
Wrappers for ecld to maintain consistent type between mpfr and numeric |
| ecld.sd |
Compute statistics analytically for an ecld object |
| ecld.sged_cdf |
The integral solutions of SGED |
| ecld.sged_const |
The integral solutions of SGED |
| ecld.sged_imgf |
The integral solutions of SGED |
| ecld.sged_mgf |
The integral solutions of SGED |
| ecld.sged_moment |
The integral solutions of SGED |
| ecld.sged_ogf |
The integral solutions of SGED |
| ecld.skewness |
Compute statistics analytically for an ecld object |
| ecld.solve |
Analytic solution for y(x) in lambda distribution |
| ecld.solve_by_poly |
Analytic solution for y(x) in lambda distribution |
| ecld.solve_isomorphic |
Analytic solution for y(x) in lambda distribution |
| ecld.solve_quartic |
Analytic solution for y(x) in lambda distribution |
| ecld.validate |
Constructor of ecld class |
| ecld.var |
Compute statistics analytically for an ecld object |
| ecld.y_slope |
Analytic solution for the slope of y(x) in lambda distribution |
| ecld.y_slope_trunc |
Analytic solution for the slope of y(x) in lambda distribution |
| ecldOrEcd-class |
The ecldOrEcd class |
| ecop-class |
An S4 class to represent the top-level option model |
| ecop.bs_call_price |
Calculate option price from implied volatility in Black-Sholes model |
| ecop.bs_implied_volatility |
Implied volatility of Black-Sholes model |
| ecop.bs_option_price |
Calculate option price from implied volatility in Black-Sholes model |
| ecop.bs_put_price |
Calculate option price from implied volatility in Black-Sholes model |
| ecop.build_opt |
Constructor of ecop class by read conf for option sample data |
| ecop.enrich_option_df |
Read option data csv |
| ecop.find_fixed_point_lambda_by_atm_skew |
Utility to find the fixed point lambda that matches ATM skew |
| ecop.find_fixed_point_sd_by_lambda |
Utility to find the fixed point stdev when lambda is given |
| ecop.from_symbol_conf |
Constructor of ecop class by read conf for option sample data |
| ecop.get_ld_triple |
Get triple list of ecld objects by stdev |
| ecop.opt-class |
An S4 class to represent the option data and model calculation |
| ecop.polyfit_option |
Poly fit on option prices |
| ecop.read_csv_by_symbol |
Read option data csv |
| ecop.read_symbol_conf |
Constructor of ecop class by read conf for option sample data |
| ecop.smile_data_calculator |
Master calculator for all the analytics of volatility smiles required for a date |
| ecop.term_atm |
Master calculator for all the analytics of volatility smiles required for a date |
| ecop.term_idx_range |
Produce 3x3 plot of volatility smiles for a date |
| ecop.term_master_calculator |
Master calculator for all the analytics of volatility smiles required for a date |
| ecop.term_plot_3x3 |
Produce 3x3 plot of volatility smiles for a date |
| ecop.term_realized_days |
Produce 3x3 plot of volatility smiles for a date |
| ecop.term_target_days_default |
Produce 3x3 plot of volatility smiles for a date |
| ecop.vix_plot_3x3 |
Produce 3x3 plot of VIX volatility smiles for a date |
| ellipticity |
Ellipticity of ecd object |
| ellipticity-method |
Ellipticity of ecd object |
| ellipticity.ecd |
Ellipticity of ecd object |
![[R logo]](../../../doc/html/Rlogo.svg)
![[Up]](../../../doc/html/left.jpg)
![[Top]](../../../doc/html/up.jpg)