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retrait de dampedcfcallCarrMadan qui était pas dans le bon paquet

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François Pelletier 2014-02-22 13:31:04 -05:00
parent 3ea9baa55d
commit 23984a21df
2 changed files with 0 additions and 81 deletions
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44
R/dampedcfcallCarrMadan.R
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@ -1,44 +0,0 @@
# Damped characteristic function of the call option log-price
#
# Author: Francois Pelletier
#
# LGPL 3.0
###############################################################################
#' Damped characteristic function of the call option log-price
#' @param u Transform variate
#' @param char.fn Characteristic function of the log-price process
#' @param eval.time Evaluation time
#' @param expiry.time Expiry time
#' @param rate Continuously compounded interest rate (force of interest)
#' @param alpha Damping parameter
#' @param ... Parameters of the characteristic function
#' @param moneyness Boolean for moneyness of call option
#' (TRUE if strike price is lower than stock price)
#' @return Characteristic function value
#'
#' @author Francois Pelletier
dampedcfcallCarrMadan <- function(u,char.fn,eval.time,expiry.time,rate,alpha,...,moneyness=TRUE)
{
if(moneyness)
{
exp(-rate*(expiry.time-eval.time))*
char.fn(u-1i*(alpha+1),expiry.time-eval.time,...) /
(alpha^2+alpha-u^2+1i*u*(2*alpha+1))
}
else
{
auxiliairyf <- function(u,char.fn,eval.time,expiry.time,rate,alpha,...)
{
exp(-rate*(expiry.time-eval.time))*
(1/(1+1i*u)-exp(rate*(expiry.time-eval.time))/
(1i*u)-char.fn(u-1i,expiry.time-eval.time,...)/(u^2-1i*u))
}
(auxiliairyf(u-1i*alpha,char.fn,eval.time,expiry.time,rate,alpha,...)-
auxiliairyf(u+1i*alpha,char.fn,eval.time,expiry.time,rate,alpha,...))/2
}
}

37
man/dampedcfcallCarrMadan.Rd
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\name{dampedcfcallCarrMadan}
\alias{dampedcfcallCarrMadan}
\title{Damped characteristic function of the call option log-price}
\usage{
dampedcfcallCarrMadan(u, char.fn, eval.time, expiry.time, rate, alpha, ...,
moneyness = TRUE)
}
\arguments{
\item{u}{Transform variate}
\item{char.fn}{Characteristic function of the log-price
process}
\item{eval.time}{Evaluation time}
\item{expiry.time}{Expiry time}
\item{rate}{Continuously compounded interest rate (force
of interest)}
\item{alpha}{Damping parameter}
\item{...}{Parameters of the characteristic function}
\item{moneyness}{Boolean for moneyness of call option
(TRUE if strike price is lower than stock price)}
}
\value{
Characteristic function value
}
\description{
Damped characteristic function of the call option log-price
}
\author{
Francois Pelletier
}