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correction argument

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François Pelletier 2014-03-05 22:09:40 -05:00
parent 0d539a0a03
commit f4bc938145
2 changed files with 6 additions and 1 deletions
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5
NAMESPACE
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@ -1,2 +1,7 @@
export(EppsPulley.test)
export(callCarrMadan)
export(dampedcfcallCarrMadan)
export(putEpps)
export(putHeston)
export(putcallparity)
export(zerobond)

2
R/callCarrMadan.R
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@ -32,7 +32,7 @@ callCarrMadan <- function(strikeprice,char.fn,eval.time,expiry.time,rate,alpha,
# Vector of indices
jvec <- 1:fft.control$N
# Simpson's hypothesis
simpsonh <- ((dampedcfcallCarrMadan(u,char.fn,eval.time,expiry.time,rate,alpha,moneyness,param)*
simpsonh <- ((dampedcfcallCarrMadan(u,char.fn,eval.time,expiry.time,rate,alpha,...,moneyness)*
exp(1i*u*b)*fft.control$eta)/3)*
(3+(-1)^jvec+((jvec-1)==0))
# Log-price vector