Ajout de la fonction putHeston et putEpps

R/putEpps.R

@@ -8,8 +8,8 @@
 #' European put option pricing using characteristic function 
 #' 
 #' As seen in Epps (2009)
-#' @param char.fn Characteristic function of the price level at expiry time
 #' @param strikeprice Strike price, relative to a unit stock price
+#' @param char.fn Characteristic function of the price level at expiry time
 #' @param eval.time Evaluation time
 #' @param expiry.time Expiry time
 #' @param rate Continuously compounded interest rate (force of interest)
@@ -18,7 +18,7 @@
 #' @return European put option price
 #' 
 #' @author Francois Pelletier
-putEpps <- function(char.fn,strikeprice,eval.time,expiry.time,rate,...,int.bounds=c(-Inf,Inf))
+putEpps <- function(strikeprice,char.fn,eval.time,expiry.time,rate,...,int.bounds=c(-Inf,Inf))
 {
   # function to integrate (zhi)
   zhi <- function(x,char.fn,strikeprice,eval.time,expiry.time,rate,...)

R/putHeston.R

@@ -0,0 +1,26 @@
+# European put option pricing using Heston method
+# 
+# Author: Francois Pelletier
+#
+# LGPL 3.0
+###############################################################################
+
+#' European put option pricing using Heston method
+#' @param strikeprice Strike price, relative to a unit stock price
+#' @param dist.fn Distribution function for the risk neutral log-price process
+#' @param ess.dist.fn Esscher transformed (with h=1) distribution function for the risk neutral log-price process
+#' @param eval.time Evaluation time
+#' @param expiry.time Expiry time
+#' @param rate Continuously compounded interest rate (force of interest)
+#' @param ... Parameters of the distribution function dist.fn
+#' @return European put option price
+#' 
+#' @author Francois Pelletier
+putHeston <- function(strikeprice,dist.fn,ess.dist.fn,eval.time,expiry.time,rate,...)
+{
+	exp(-rate*(expiry.time-eval.time)) * strikeprice*dist.fn(log(strikeprice),...) - 
+			ess.dist.fn(log(strikeprice),...)
+}
+
+
+

man/putEpps.Rd

@@ -2,16 +2,16 @@
 \alias{putEpps}
 \title{European put option pricing using characteristic function}
 \usage{
-putEpps(char.fn, strikeprice, eval.time, expiry.time, rate, ...,
+putEpps(strikeprice, char.fn, eval.time, expiry.time, rate, ...,
   int.bounds = c(-Inf, Inf))
 }
 \arguments{
-  \item{char.fn}{Characteristic function of the price level
-  at expiry time}
-
   \item{strikeprice}{Strike price, relative to a unit stock
   price}
 
+  \item{char.fn}{Characteristic function of the price level
+  at expiry time}
+
   \item{eval.time}{Evaluation time}
 
   \item{expiry.time}{Expiry time}

man/putHeston.Rd

@@ -0,0 +1,37 @@
+\name{putHeston}
+\alias{putHeston}
+\title{European put option pricing using Heston method}
+\usage{
+putHeston(strikeprice, dist.fn, ess.dist.fn, eval.time, expiry.time, rate, ...)
+}
+\arguments{
+  \item{strikeprice}{Strike price, relative to a unit stock
+  price}
+
+  \item{dist.fn}{Distribution function for the risk neutral
+  log-price process}
+
+  \item{ess.dist.fn}{Esscher transformed (with h=1)
+  distribution function for the risk neutral log-price
+  process}
+
+  \item{eval.time}{Evaluation time}
+
+  \item{expiry.time}{Expiry time}
+
+  \item{rate}{Continuously compounded interest rate (force
+  of interest)}
+
+  \item{...}{Parameters of the distribution function
+  dist.fn}
+}
+\value{
+European put option price
+}
+\description{
+European put option pricing using Heston method
+}
+\author{
+Francois Pelletier
+}
+