From ac0468fc52ebd810483fbe43d26f54ccd3b79620 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fran=C3=A7ois=20Pelletier?= <franc00018@gmail.com>
Date: Sat, 22 Feb 2014 13:30:49 -0500
Subject: [PATCH] =?UTF-8?q?ajout=20de=20dampedcfcallCarrMadan=20qui=20?=
 =?UTF-8?q?=C3=A9tait=20pas=20dans=20le=20bon=20paquet?=
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---
 R/dampedcfcallCarrMadan.R    | 44 ++++++++++++++++++++++++++++++++++++
 man/dampedcfcallCarrMadan.Rd | 37 ++++++++++++++++++++++++++++++
 2 files changed, 81 insertions(+)
 create mode 100644 R/dampedcfcallCarrMadan.R
 create mode 100644 man/dampedcfcallCarrMadan.Rd

diff --git a/R/dampedcfcallCarrMadan.R b/R/dampedcfcallCarrMadan.R
new file mode 100644
index 0000000..8a29c74
--- /dev/null
+++ b/R/dampedcfcallCarrMadan.R
@@ -0,0 +1,44 @@
+# Damped characteristic function of the call option log-price
+# 
+# Author: Francois Pelletier
+#
+# LGPL 3.0
+###############################################################################
+
+
+#' Damped characteristic function of the call option log-price
+#' @param u Transform variate
+#' @param char.fn Characteristic function of the log-price process
+#' @param eval.time Evaluation time
+#' @param expiry.time Expiry time
+#' @param rate Continuously compounded interest rate (force of interest)
+#' @param alpha Damping parameter
+#' @param ... Parameters of the characteristic function
+#' @param moneyness Boolean for moneyness of call option 
+#' (TRUE if strike price is lower than stock price)
+#' @return Characteristic function value
+#' 
+#' @author Francois Pelletier
+dampedcfcallCarrMadan <- function(u,char.fn,eval.time,expiry.time,rate,alpha,...,moneyness=TRUE)
+{
+	if(moneyness)
+	{
+		exp(-rate*(expiry.time-eval.time))*
+				char.fn(u-1i*(alpha+1),expiry.time-eval.time,...) / 
+				(alpha^2+alpha-u^2+1i*u*(2*alpha+1))
+	}
+	else
+	{
+		auxiliairyf <- function(u,char.fn,eval.time,expiry.time,rate,alpha,...)
+		{
+			exp(-rate*(expiry.time-eval.time))*
+					(1/(1+1i*u)-exp(rate*(expiry.time-eval.time))/
+						(1i*u)-char.fn(u-1i,expiry.time-eval.time,...)/(u^2-1i*u))
+		}
+		(auxiliairyf(u-1i*alpha,char.fn,eval.time,expiry.time,rate,alpha,...)-
+				auxiliairyf(u+1i*alpha,char.fn,eval.time,expiry.time,rate,alpha,...))/2
+	}
+	
+}
+
+
diff --git a/man/dampedcfcallCarrMadan.Rd b/man/dampedcfcallCarrMadan.Rd
new file mode 100644
index 0000000..49450de
--- /dev/null
+++ b/man/dampedcfcallCarrMadan.Rd
@@ -0,0 +1,37 @@
+\name{dampedcfcallCarrMadan}
+\alias{dampedcfcallCarrMadan}
+\title{Damped characteristic function of the call option log-price}
+\usage{
+dampedcfcallCarrMadan(u, char.fn, eval.time, expiry.time, rate, alpha, ...,
+  moneyness = TRUE)
+}
+\arguments{
+  \item{u}{Transform variate}
+
+  \item{char.fn}{Characteristic function of the log-price
+  process}
+
+  \item{eval.time}{Evaluation time}
+
+  \item{expiry.time}{Expiry time}
+
+  \item{rate}{Continuously compounded interest rate (force
+  of interest)}
+
+  \item{alpha}{Damping parameter}
+
+  \item{...}{Parameters of the characteristic function}
+
+  \item{moneyness}{Boolean for moneyness of call option
+  (TRUE if strike price is lower than stock price)}
+}
+\value{
+Characteristic function value
+}
+\description{
+Damped characteristic function of the call option log-price
+}
+\author{
+Francois Pelletier
+}
+