From 99f62ae46646b29128dc66b3e439b36d31c5e3ab Mon Sep 17 00:00:00 2001
From: francois <francois@francois-K53SV>
Date: Sun, 6 Jul 2014 22:58:07 -0400
Subject: [PATCH] ajout Heston Normal

---
 .project      |  1 +
 R/putHeston.R | 12 +++++++++---
 2 files changed, 10 insertions(+), 3 deletions(-)

diff --git a/.project b/.project
index e65c65b..ecb64bd 100644
--- a/.project
+++ b/.project
@@ -14,5 +14,6 @@
 	<natures>
 		<nature>de.walware.statet.base.StatetNature</nature>
 		<nature>de.walware.statet.r.RNature</nature>
+		<nature>de.walware.statet.r.RPkgNature</nature>
 	</natures>
 </projectDescription>
diff --git a/R/putHeston.R b/R/putHeston.R
index 6ef3a7f..da5d442 100644
--- a/R/putHeston.R
+++ b/R/putHeston.R
@@ -16,10 +16,16 @@
 #' @return European put option price
 #' @export putHeston
 #' @author Francois Pelletier
-putHeston <- function(strikeprice,dist.fn,ess.dist.fn,eval.time,expiry.time,rate,...)
+putHeston <- function(param,strikeprice,dist.fn,eval.time,expiry.time,rate)
 {
-	exp(-rate*(expiry.time-eval.time)) * strikeprice*dist.fn(log(strikeprice),...) - 
-			ess.dist.fn(log(strikeprice),...)
+	exp(-rate*(expiry.time-eval.time)) * strikeprice*dist.fn(log(strikeprice),param,hEsscher=0) - 
+			dist.fn(log(strikeprice),param,hEsscher=1)
+}
+
+putHestonSaddle <- function(param,strikeprice,dist.fn1,dist.fn2,eval.time,expiry.time,rate)
+{
+	exp(-rate*(expiry.time-eval.time)) * strikeprice*dist.fn1(log(strikeprice),param) - 
+			dist.fn2(log(strikeprice),param)
 }