Ajout des return() et update du namespace avec roxygen

NAMESPACE

@@ -1,8 +1,2 @@
-export(callCarrMadan,
-dampedcfcallCarrMadan,
-EppsPulley.test,
-parity,
-putEpps,
-putHeston,
-zerobond
-)
+export(dampedcfcallCarrMadan)
+export(putcallparity)

R/EppsPulley.test.R

@@ -14,7 +14,7 @@
 #' @param x Sample
 #' @param alpha Tolerance level
 #' @return A list containing the test statistics
-#' 
+#' @export EppsPulley.test
 #' @author François Pelletier
 EppsPulley.test <- function(x,alpha=0.05)
 {

R/callCarrMadan.R

@@ -16,7 +16,7 @@
 #' @param ... Parameters of the characteristic function
 #' @param fft.control Control parameters list for the FFT discretization
 #' @return A European call option price vector
-#' 
+#' @export callCarrMadan
 #' @author Francois Pelletier
 callCarrMadan <- function(strikeprice,char.fn,eval.time,expiry.time,rate,alpha,
 		...,fft.control=list(N=2^14,eta=.1))

R/dampedcfcallCarrMadan.R

@@ -17,15 +17,15 @@
 #' @param moneyness Boolean for moneyness of call option 
 #' (TRUE if strike price is lower than stock price)
 #' @return Characteristic function value
-#' 
+#' @export dampedcfcallCarrMadan
 #' @author Francois Pelletier
 dampedcfcallCarrMadan <- function(u,char.fn,eval.time,expiry.time,rate,alpha,...,moneyness=TRUE)
 {
 	if(moneyness)
 	{
-		exp(-rate*(expiry.time-eval.time))*
+		return(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))
+				(alpha^2+alpha-u^2+1i*u*(2*alpha+1)))
 	}
 	else
 	{
@@ -35,8 +35,8 @@ dampedcfcallCarrMadan <- function(u,char.fn,eval.time,expiry.time,rate,alpha,...
 					(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
+		return((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)
 	}
 	
 }

R/putEpps.R

@@ -16,7 +16,7 @@
 #' @param ... Parameters of the characteristic function
 #' @param int.bounds Integration bounds for the integrate() method used. Defaults to infinite bounds.
 #' @return European put option price vector
-#' 
+#' @export putEpps
 #' @author Francois Pelletier
 putEpps <- function(strikeprice,char.fn,eval.time,expiry.time,rate,...,int.bounds=c(-Inf,Inf))
 {

R/putHeston.R

@@ -14,7 +14,7 @@
 #' @param rate Continuously compounded interest rate (force of interest)
 #' @param ... Parameters of the distribution function dist.fn
 #' @return European put option price
-#' 
+#' @export putHeston
 #' @author Francois Pelletier
 putHeston <- function(strikeprice,dist.fn,ess.dist.fn,eval.time,expiry.time,rate,...)
 {

R/putcallparity.R

@@ -14,17 +14,17 @@
 #' @param rate Continuously compounded interest rate (force of interest)
 #' @param toPut Boolean, Call to Put or Put to Call ?
 #' @return Option price
-#' 
+#' @export putcallparity
 #' @author François Pelletier
-parity <- function(optionvalue,strikeprice,eval.time,expiry.time,rate,toPut=TRUE)
+putcallparity <- function(optionvalue,strikeprice,eval.time,expiry.time,rate,toPut=TRUE)
 {
 	if(toPut)
 	{
-		optionvalue-1+strikeprice*zerobond(eval.time,expiry.time,rate)
+		return(optionvalue-1+strikeprice*zerobond(eval.time,expiry.time,rate))
 		
 	}
 	else
 	{
-		1+optionvalue-strikeprice*zerobond(eval.time,expiry.time,rate)
+		return(1+optionvalue-strikeprice*zerobond(eval.time,expiry.time,rate))
 	}
 }

R/zerobond.R

@@ -15,7 +15,7 @@
 #' @param rate Continuously compounded interest rate (force of interest)
 #' @param face Face value
 #' @return Actualised price of bond
-#' 
+#' @export zerobond
 #' @author François Pelletier
 
 zerobond <- function(eval.time,expiry.time,rate,face=1)

man/putcallparity.Rd

@@ -1,8 +1,9 @@
-\name{parity}
-\alias{parity}
+\name{putcallparity}
+\alias{putcallparity}
 \title{Put-Call Parity}
 \usage{
-parity(optionvalue, strikeprice, eval.time, expiry.time, rate, toPut = TRUE)
+putcallparity(optionvalue, strikeprice, eval.time, expiry.time, rate,
+  toPut = TRUE)
 }
 \arguments{
   \item{optionvalue}{Option price}