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modification putEpps

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François Pelletier 2014-05-24 11:26:40 -04:00
parent 6deace89c8
commit 92b291e2b4
2 changed files with 6 additions and 7 deletions
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1
.project
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@ -14,6 +14,5 @@
<natures>
<nature>de.walware.statet.base.StatetNature</nature>
<nature>de.walware.statet.r.RNature</nature>
<nature>de.walware.statet.r.RPkgNature</nature>
</natures>
</projectDescription>

12
R/putEpps.R
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@ -18,21 +18,21 @@
#' @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))
putEpps <- function(strikeprice,char.fn,param,eval.time,expiry.time,rate,...,int.bounds=c(-Inf,0))
{
# function to integrate (zhi)
zhi <- function(x,char.fn,strikeprice,eval.time,expiry.time,...)
zhi <- function(x,char.fn,param,strikeprice,eval.time,expiry.time,...)
{
Re(strikeprice^{-1i*x} *
char.fn(x,expiry.time-eval.time,...) /
char.fn(x,param,eval.time,expiry.time,...) /
(x*(1i+x)))
}
# function to integrate with strike price as first parameter
integrate.K <- function(strikeprice,zhi,char.fn,int.bounds,eval.time,expiry.time,rate,...)
integrate.K <- function(strikeprice,zhi,char.fn,param,int.bounds,eval.time,expiry.time,rate,...)
{
exp(-rate*(expiry.time-eval.time)) *
strikeprice *
(.5 - integrate(zhi,int.bounds[1],int.bounds[2],char.fn,strikeprice,eval.time,expiry.time,...)$value / (2*pi))
(.5 - integrate(zhi,int.bounds[1],int.bounds[2],char.fn,param,strikeprice,eval.time,expiry.time,...)$value / (pi))
}
mclapply(as.list(strikeprice),integrate.K,zhi,char.fn,int.bounds,eval.time,expiry.time,rate,...)
lapply(as.list(strikeprice),integrate.K,zhi,char.fn,param,int.bounds,eval.time,expiry.time,rate,...)
}