ajouts Epps

man/parity.Rd

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+\name{parity}
+\alias{parity}
+\title{Put-Call Parity}
+\usage{
+parity(optionvalue, strikeprice, eval.time, expiry.time, rate, toPut = TRUE)
+}
+\arguments{
+  \item{optionvalue}{Option price}
+
+  \item{strikeprice}{Strike price}
+
+  \item{eval.time}{Evaluation time}
+
+  \item{expiry.time}{Expiry time}
+
+  \item{rate}{Continuously compounded interest rate (force
+  of interest)}
+
+  \item{toPut}{Boolean, Call to Put or Put to Call ?}
+}
+\value{
+Option price
+}
+\description{
+Put-Call Parity
+}
+\author{
+François Pelletier
+}
+

man/putEpps.Rd

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+\name{putEpps}
+\alias{putEpps}
+\title{European put option pricing using characteristic function}
+\usage{
+putEpps(char.fn, strikeprice, 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{eval.time}{Evaluation time}
+
+  \item{expiry.time}{Expiry time}
+
+  \item{rate}{Continuously compounded interest rate (force
+  of interest)}
+
+  \item{...}{Parameters of the characteristic function}
+
+  \item{int.bounds}{Integration bounds for the integrate()
+  method used. Defaults to infinite bounds.}
+}
+\value{
+European put option price
+}
+\description{
+As seen in Epps (2009)
+}
+\author{
+Francois Pelletier
+}
+

man/zerobond.Rd

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+\name{zerobond}
+\alias{zerobond}
+\title{zerobond}
+\usage{
+zerobond(eval.time, expiry.time, rate, face = 1)
+}
+\arguments{
+  \item{eval.time}{Evaluation time}
+
+  \item{expiry.time}{Expiry time}
+
+  \item{rate}{Continuously compounded interest rate (force
+  of interest)}
+
+  \item{face}{Face value}
+}
+\value{
+Actualised price of bond
+}
+\description{
+Evaluate the price of a zero coupon bond
+}
+\details{
+Evaluates the actualised price of a bond using interest
+rate and face value
+}
+\author{
+François Pelletier
+}
+