37 lines
937 B
R
37 lines
937 B
R
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# Risk neutral conversion of parameters of GAL distirbution
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#
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# Author: Francois Pelletier
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#
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# LGPL 3.0
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###############################################################################
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#' Risk neutral conversion of parameters of GAL distirbution
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#' @param param Parameter vector
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#' @param riskfree Risk-free rate
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#' @param type Choose between "mu" or "kappa" parametrization
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#' @param log Logical for log-parameters
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#' @return Risk neutral parameter vector
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#'
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#' @author Francois Pelletier
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riskneutralparGAL <- function(param,riskfree,type="mu",log=FALSE)
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{
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testparGAL(param,type,log)
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if(type=="kappa")
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{
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riskneutralparGAL(changetypeGAL(param,type="kappa",target="mu"),riskfree,type="mu",log)
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}
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if(type=="mu")
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{
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if(log)
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{
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c(log(riskfree+log(1-exp(param[3])-exp(param[2])^2/2)*param[4]),param[2],param[3],param[4])
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}
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else
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{
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c(riskfree+log(1-param[3]-param[2]^2/2)*param[4],param[2],param[3],param[4])
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}
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}
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}
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