Ajout des fonctions EppsPulley.test, callCarrMadan

man/EppsPulley.test.Rd

@@ -0,0 +1,23 @@
+\name{EppsPulley.test}
+\alias{EppsPulley.test}
+\title{Approximate Epps-Pulley normality test}
+\usage{
+EppsPulley.test(x, alpha = 0.05)
+}
+\arguments{
+  \item{x}{Sample}
+
+  \item{alpha}{Tolerance level}
+}
+\value{
+A list containing the test statistics
+}
+\description{
+An Approximation to the Limit Distribution of the
+Epps-Pulley Test Statistic for Normality By N. Henze
+Metrika (1990) 37:7-18
+}
+\author{
+François Pelletier
+}
+

man/callCarrMadan.Rd

@@ -0,0 +1,38 @@
+\name{callCarrMadan}
+\alias{callCarrMadan}
+\title{Call price using the Carr-Madan damping parameter and FFT}
+\usage{
+callCarrMadan(strikeprice, char.fn, eval.time, expiry.time, rate, alpha, ...,
+  fft.control = list(N = 2^14, eta = 0.1))
+}
+\arguments{
+  \item{strikeprice}{Vector of strike prices, relative to a
+  unit stock price}
+
+  \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{fft.control}{Control parameters list for the FFT
+  discretization}
+}
+\value{
+A European call option price vector
+}
+\description{
+Call price using the Carr-Madan damping parameter and FFT
+}
+\author{
+Francois Pelletier
+}
+

man/putEpps.Rd

@@ -6,8 +6,8 @@ putEpps(strikeprice, char.fn, eval.time, expiry.time, rate, ...,
   int.bounds = c(-Inf, Inf))
 }
 \arguments{
-  \item{strikeprice}{Strike price, relative to a unit stock
-  price}
+  \item{strikeprice}{Strike price vector, relative to a
+  unit stock price}
 
   \item{char.fn}{Characteristic function of the price level
   at expiry time}
@@ -25,7 +25,7 @@ putEpps(strikeprice, char.fn, eval.time, expiry.time, rate, ...,
   method used. Defaults to infinite bounds.}
 }
 \value{
-European put option price
+European put option price vector
 }
 \description{
 As seen in Epps (2009)