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correction Epps

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François Pelletier 2014-05-24 11:14:38 -04:00
parent 16722ab0e7
commit 4566a4d5b8
4 changed files with 24 additions and 2546 deletions
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9
GAL-Buckle95.Rnw
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@ -13,7 +13,6 @@
\usepackage{scrtime}
\begin{document}
\SweaveOpts{concordance=TRUE}
\title{GAL Buckle 95}
\author{François Pelletier}
@ -24,11 +23,11 @@
\section{Chargement des paquets}
<<>>=
setwd("~/git/GAL-Buckle95/")
setwd("~/maitrise/GAL-Buckle95/")
library(actuar)
library(MASS)
library(xtable)
library(multicore)
library(parallel)
library(moments)
library(FourierStuff)
library(GeneralizedAsymmetricLaplace)
@ -393,8 +392,8 @@ xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
\subsection{Méthode de Epps}
<<>>=
f_putEpps <- function(param,strikeprice,char.fn,eval.time,expiry.time,rate)
putEpps(strikeprice,char.fn,eval.time,expiry.time,rate,param=param)
f_putEpps <- function(param,strikeprice,char.fn,eval.time,expiry.time,rate,...)
putEpps(strikeprice,char.fn,param,eval.time,expiry.time,rate,...)
prix_Epps <- as.data.frame(sapply(l.pts.estim.ns.rn,f_putEpps,strike/stock0,cfLM,0,T,rfrate))
@

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GAL-Buckle95.pdf
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41
GAL-Buckle95.tex
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@ -13,7 +13,6 @@
\usepackage{scrtime}
\begin{document}
\input{GAL-Buckle95-concordance}
\title{GAL Buckle 95}
\author{François Pelletier}
@ -25,11 +24,11 @@
\section{Chargement des paquets}
\begin{Schunk}
\begin{Sinput}
> setwd("~/git/GAL-Buckle95/")
> setwd("~/maitrise/GAL-Buckle95/")
> library(actuar)
> library(MASS)
> library(xtable)
> library(multicore)
> library(parallel)
> library(moments)
> library(FourierStuff)
> library(GeneralizedAsymmetricLaplace)
@ -373,8 +372,8 @@ Test du $\chi^2$, Méthode avec intégration
> xtable(do.call(rbind,lapply(l.pts.estim,chisquare.test1,hist(sRET),
+ cfGAL,"integral")),digits=6)
\end{Sinput}
% latex table generated in R 3.0.3 by xtable 1.7-3 package
% Sat Mar 29 12:42:33 2014
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrr}
@ -399,8 +398,8 @@ Test du $\chi^2$, Méthode avec point de selle
> xtable(do.call(rbind,lapply(l.pts.estim,chisquare.test1,hist(sRET),
+ pGAL,"saddlepoint")),digits=6)
\end{Sinput}
% latex table generated in R 3.0.3 by xtable 1.7-3 package
% Sat Mar 29 12:42:33 2014
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrr}
@ -425,8 +424,8 @@ Statistique de Kolmogorov-Smirnov
> ks.test1 <- function(param,x,y) ks.test(x,y,param)
> xtable(do.call(rbind,mclapply(l.pts.estim,ks.test1,sRET,"pGAL")),digits=6)
\end{Sinput}
% latex table generated in R 3.0.3 by xtable 1.7-3 package
% Sat Mar 29 12:42:33 2014
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrr}
@ -453,8 +452,8 @@ Statistique de distance minimale
> xtable(do.call(rbind,mclapply(l.pts.estim,
+ md.test,sRET,tvariate1,cfGAL,empCF)),digits=6)
\end{Sinput}
% latex table generated in R 3.0.3 by xtable 1.7-3 package
% Sat Mar 29 12:42:33 2014
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrr}
@ -550,8 +549,8 @@ Test de Wald
+ caption="Test de Wald", digits=2)
\end{Sinput}
\begin{Soutput}
% latex table generated in R 3.0.3 by xtable 1.7-3 package
% Sat Mar 29 12:42:33 2014
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrrrrr}
@ -587,8 +586,8 @@ des rendements non réduits.
+ caption="Paramètres des données non centrées et réduites",
+ digits=4)
\end{Sinput}
% latex table generated in R 3.0.3 by xtable 1.7-3 package
% Sat Mar 29 12:42:33 2014
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrrrrr}
@ -642,8 +641,8 @@ des rendements non réduits.
\begin{Sinput}
> xtable(pts.estim.ns.rn,caption="Paramètres neutres au risque",digits=4)
\end{Sinput}
% latex table generated in R 3.0.3 by xtable 1.7-3 package
% Sat Mar 29 12:42:33 2014
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrrrrr}
@ -664,8 +663,8 @@ des rendements non réduits.
\begin{Schunk}
\begin{Sinput}
> f_putEpps <- function(param,strikeprice,char.fn,eval.time,expiry.time,rate)
+ putEpps(strikeprice,char.fn,eval.time,expiry.time,rate,param=param)
> f_putEpps <- function(param,strikeprice,char.fn,eval.time,expiry.time,rate,...)
+ putEpps(strikeprice,char.fn,param,eval.time,expiry.time,rate,...)
> prix_Epps <- as.data.frame(sapply(l.pts.estim.ns.rn,f_putEpps,strike/stock0,cfLM,0,T,rfrate))
\end{Sinput}
\end{Schunk}
@ -674,8 +673,8 @@ des rendements non réduits.
\begin{Sinput}
> xtable(prix_Epps,caption="Prix unitaire de l'option de vente, Méthode de Epps",digits=6)
\end{Sinput}
% latex table generated in R 3.0.3 by xtable 1.7-3 package
% Sat Mar 29 12:42:33 2014
% latex table generated in R 3.1.0 by xtable 1.7-3 package
% Sat May 24 10:56:20 2014
\begin{table}[ht]
\centering
\begin{tabular}{rrrrrrrrr}

2520
Rplots.pdf
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