From f4bc938145d1399461ab460f62c2a8dadae0a52c Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Fran=C3=A7ois=20Pelletier?= Date: Wed, 5 Mar 2014 22:09:40 -0500 Subject: [PATCH] correction argument --- NAMESPACE | 5 +++++ R/callCarrMadan.R | 2 +- 2 files changed, 6 insertions(+), 1 deletion(-) diff --git a/NAMESPACE b/NAMESPACE index a47af15..db2a505 100644 --- a/NAMESPACE +++ b/NAMESPACE @@ -1,2 +1,7 @@ +export(EppsPulley.test) +export(callCarrMadan) export(dampedcfcallCarrMadan) +export(putEpps) +export(putHeston) export(putcallparity) +export(zerobond) diff --git a/R/callCarrMadan.R b/R/callCarrMadan.R index d592468..589ae1f 100644 --- a/R/callCarrMadan.R +++ b/R/callCarrMadan.R @@ -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