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modification intégrale à la fin de la fonction

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franc00018 2014-03-29 12:37:15 -04:00
parent 39761b1585
commit 6deace89c8
1 changed files with 5 additions and 5 deletions
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10
R/putEpps.R
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@ -21,18 +21,18 @@
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,...)
zhi <- function(x,char.fn,strikeprice,eval.time,expiry.time,...)
{
Re(strikeprice^{-1i*x} *
char.fn(x,eval.time,expiry.time,...) /
char.fn(x,expiry.time-eval.time,...) /
(x*(1i+x)))
}
# function to integrate with strike price as first parameter
integrate.K <- function(strikeprice,zhi,int.bounds,eval.time,expiry.time,rate,...)
integrate.K <- function(strikeprice,zhi,char.fn,int.bounds,eval.time,expiry.time,rate,...)
{
exp(-rate*(expiry.time-eval.time)) *
strikeprice *
(.5 - integrate(zhi,int.bounds[1],int.bounds[2],strikeprice,eval.time,expiry.time,rate,...)$value / (2*pi))
(.5 - integrate(zhi,int.bounds[1],int.bounds[2],char.fn,strikeprice,eval.time,expiry.time,...)$value / (2*pi))
}
mclapply(as.list(strikeprice),integrate.K,zhi,int.bounds,eval.time,expiry.time,rate,...)
mclapply(as.list(strikeprice),integrate.K,zhi,char.fn,int.bounds,eval.time,expiry.time,rate,...)
}