{ "_id": "6a2073bbcd65a98ecbd12356", "Package": "JumpDiffSim", "Type": "Package", "Title": "Jump Diffusion Simulation and Calibration for Merton and Kou\nModels", "Version": "0.1.0", "Authors@R": "c(\nperson(\ngiven = c (\"Kennedy\", \"Titus\"),\nfamily = \"Kayaki\",\nemail = \"kennedy_2244@yu.ac.kr\",\nrole = c(\"aut\", \"cre\")),\nperson (given = \"Dohyun\", family = \"Oh\", role = \"aut\"),\nperson (given = \"Ju Seong\", family = \"Hyeon\", role = \"aut\"),\nperson (given = \"Lee\", family = \"Se Eun\", role = \"aut\"),\nperson (given = \"Choi\", family = \"Jiwoo\", role = \"aut\"),\nperson (given = \"Yuri\", family = \"Shin\", role = \"aut\")\n)", "Description": "Implements the Merton (1976)\n and Kou (2002)\n jump-diffusion models through\na unified S4 object-oriented interface. Provides exact\ncompound-Poisson asset price simulation, maximum likelihood\nparameter estimation with Hessian-based standard errors,\nWald-type confidence intervals, European option pricing via the\nMerton analytic series expansion, and publication-quality\ndiagnostic plots. All functionality operates entirely offline\nwithout market data dependencies.", "License": "GPL (>= 3)", "Encoding": "UTF-8", "RoxygenNote": "7.3.3", "Collate": "'generics.R' 'kou_fit.R' 'kou_model.R' 'kou_sim.R'\n'merton_model.R' 'merton_fit.R' 'merton_price.R' 'merton_sim.R'\n'utils.R'", "Config/testthat/edition": "3", "VignetteBuilder": "knitr", "URL": "https://kennedy2244.github.io/JumpDiffSim/,\nhttps://github.com/kennedy2244/JumpDiffSim", "BugReports": "https://github.com/kennedy2244/JumpDiffSim/issues", "NeedsCompilation": "no", "Packaged": { "Date": "2026-06-03 18:30:48 UTC", "User": "root" }, "Author": "Kennedy Titus Kayaki [aut, cre], Dohyun Oh [aut], Ju Seong\nHyeon [aut], Lee Se Eun [aut], Choi Jiwoo [aut], Yuri Shin\n[aut]", "Maintainer": "Kennedy Titus Kayaki ", "Repository": "https://cran.r-universe.dev", "Date/Publication": "2026-06-03 17:23:06 UTC", "RemoteUrl": "https://github.com/cran/JumpDiffSim", "RemoteRef": "HEAD", "RemoteSha": "981778af06a2bb705e306da5b77993239c8edea5", "MD5sum": "80398b13ccb6b572722199afd30e871a", "_user": "cran", "_type": "src", "_file": "JumpDiffSim_0.1.0.tar.gz", "_fileid": "8bdd66c8857d96bf5272bec9a884c8e7f7bdc7e584ac3e390c3120f58b5d873b", "_filesize": 314053, "_sha256": "8bdd66c8857d96bf5272bec9a884c8e7f7bdc7e584ac3e390c3120f58b5d873b", "_created": "2026-06-03T18:30:48.000Z", "_published": "2026-06-03T18:34:35.116Z", "_distro": "noble", "_jobs": [ { "job": 79367229503, "time": 181, "config": "linux-devel-x86_64", "r": "4.7.0", "check": "OK", "artifact": "7393472746" }, { "job": 79367229478, "time": 187, "config": "linux-release-x86_64", "r": "4.6.0", "check": "OK", "artifact": "7393474765" }, { "job": 79366614439, "time": 186, "config": "source", "r": "4.6.0", "check": "OK", "artifact": "7393402031" }, { "job": 79367229456, "time": 113, "config": "wasm-release", "r": "4.6.0", "check": "OK", "artifact": "7393446410" } ], "_buildurl": "https://github.com/r-universe/cran/actions/runs/26904773162", "_status": "success", "_host": "GitHub-Actions", "_upstream": "https://github.com/cran/JumpDiffSim", "_commit": { "id": "981778af06a2bb705e306da5b77993239c8edea5", "author": "Kennedy Titus Kayaki ", "committer": "cran-robot ", "message": "version 0.1.0\n", "time": 1780507386 }, "_maintainer": { "name": "Kennedy Titus Kayaki", "email": "kennedy_2244@yu.ac.kr", "login": "kennedy2244", "description": "", "uuid": 265517058 }, "_registered": true, "_dependencies": [ { "package": "R", "version": ">= 4.1.0", "role": "Depends" }, { "package": "methods", "role": "Imports" }, { "package": "stats", "role": "Imports" }, { "package": "ggplot2", "version": ">= 4.0.2", "role": "Imports" }, { "package": "numDeriv", "version": ">= 2016.8.1.1", "role": "Imports" }, { "package": "knitr", "role": "Suggests" }, { "package": "pkgdown", "role": "Suggests" }, { "package": "rmarkdown", "role": "Suggests" }, { "package": "covr", "role": "Suggests" }, { "package": "testthat", "version": ">= 3.0.0", "role": "Suggests" } ], "_owner": "cran", "_selfowned": false, "_usedby": 0, "_updates": [ { "week": "2026-23", "n": 1 } ], "_tags": [ { "name": "0.1.0", "date": "2026-06-03" } ], "_stars": 0, "_contributors": [ { "user": "kennedy2244", "count": 1, "uuid": 265517058 } ], "_userbio": { "uuid": 6899542, "type": "organization", "name": "cran", "description": "Unofficial read-only mirror of all CRAN R packages" }, "_downloads": { "count": 0, "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/JumpDiffSim" }, "_devurl": "https://github.com/kennedy2244/jumpdiffsim", "_pkgdown": "https://kennedy2244.github.io/JumpDiffSim/", "_rbuild": "4.6.0", "_assets": [ "extra/citation.cff", "extra/citation.html", "extra/citation.json", "extra/citation.txt", "extra/contents.json", "extra/JumpDiffSim.html", "extra/NEWS.html", "extra/NEWS.txt", "extra/readme.html", "extra/readme.md", "manual.pdf" ], "_cranurl": false, "_releases": [ { "version": "0.1.0", "date": "2026-06-03" } ], "_exports": [ "confint", "diagnosticPlots", "fit", "fitMerton", "jdSampleData", "jumpMoments", "loglik", "mertonLogLik", "MertonModel", "priceEuropean", "show", "simulate", "simulateMerton" ], "_help": [ { "page": "diagnosticPlots", "title": "Diagnostic Plots for a JDSimResult Object", "topics": [ "diagnosticPlots" ] }, { "page": "fit", "title": "Fit Model to Log-Returns via MLE", "topics": [ "fit" ] }, { "page": "fitMerton", "title": "Fit Merton Jump-Diffusion Model via MLE", "topics": [ "fitMerton" ] }, { "page": "JDFitResult-class", "title": "JDFitResult: MLE Estimation Output Class", "topics": [ "confint,JDFitResult-method", "JDFitResult-class", "show,JDFitResult-method" ] }, { "page": "jdSampleData", "title": "Generate Synthetic Log-Returns from a Jump-Diffusion Model", "topics": [ "jdSampleData" ] }, { "page": "JDSimResult-class", "title": "JDSimResult: Simulation Output Class", "topics": [ "JDSimResult-class" ] }, { "page": "JumpDiffModel-class", "title": "JumpDiffModel: Virtual Base Class for Jump-Diffusion Models", "topics": [ "JumpDiffModel-class" ] }, { "page": "jumpMoments", "title": "Theoretical Moments of the Log-Return Distribution", "topics": [ "jumpMoments" ] }, { "page": "jumpMoments-MertonModel-method", "title": "Theoretical Moments of the Merton Jump-Diffusion Log-Return", "topics": [ "jumpMoments,MertonModel-method" ] }, { "page": "loglik", "title": "Compute Negative Log-Likelihood", "topics": [ "loglik" ] }, { "page": "mertonLogLik", "title": "Negative Log-Likelihood for the Merton Jump-Diffusion Model", "topics": [ "mertonLogLik" ] }, { "page": "MertonModel", "title": "Create a MertonModel Object", "topics": [ "MertonModel" ] }, { "page": "MertonModel-class", "title": "MertonModel: Merton (1976) Jump-Diffusion Model", "topics": [ "MertonModel-class", "show,MertonModel-method" ] }, { "page": "priceEuropean", "title": "Price a European Option under the Merton Jump-Diffusion Model", "topics": [ "priceEuropean" ] }, { "page": "simulate", "title": "Simulate Asset Price Paths", "topics": [ "simulate" ] }, { "page": "simulateMerton", "title": "Simulate Merton Jump-Diffusion Asset Paths", "topics": [ "simulateMerton" ] } ], "_readme": "https://github.com/cran/JumpDiffSim/raw/HEAD/README.md", "_rundeps": [ "cli", "cpp11", "farver", "ggplot2", "glue", "gtable", "isoband", "labeling", "lifecycle", "numDeriv", "R6", "RColorBrewer", "rlang", "S7", "scales", "vctrs", "viridisLite", "withr" ], "_vignettes": [ { "source": "JumpDiffSim-intro.Rmd", "filename": "JumpDiffSim-intro.html", "title": "Getting Started with JumpDiffSim", "author": "Kennedy Kayaki, Dohyun Oh, Ju Seong Hyeon, Lee Se Eun, Choi Jiwoo, Yuri Shin", "engine": "knitr::rmarkdown", "headings": [ "1. Why Jump-Diffusion?", "2. Simulate Paths", "3. Fit Model to Data", "4. Interpreting Parameters", "5. Theoretical Moments", "References" ], "created": "2026-06-03 17:23:06", "modified": "2026-06-03 17:23:06", "commits": 1 } ], "_score": 2.6989700043360187, "_indexed": false, "_nocasepkg": "jumpdiffsim", "_universes": [ "cran", "kennedy2244" ], "_indexurl": "https://kennedy2244.r-universe.dev/JumpDiffSim", "_binaries": [ { "r": "4.7.0", "os": "linux", "version": "0.1.0", "date": "2026-06-03T18:32:59.000Z", "distro": "noble", "commit": "981778af06a2bb705e306da5b77993239c8edea5", "fileid": "8730b9fe242043f2140b7f0d9e7ca5dfb579c1aa76a7283171a3ca4df8ebd7ef", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/cran/actions/runs/26904773162" }, { "r": "4.6.0", "os": "linux", "version": "0.1.0", "date": "2026-06-03T18:33:01.000Z", "distro": "noble", "commit": "981778af06a2bb705e306da5b77993239c8edea5", "fileid": "3a67819e112281bedc146edab646ef88f71feaa205d405bae6b01c6567fb0b57", "status": "success", "check": "OK", "buildurl": "https://github.com/r-universe/cran/actions/runs/26904773162" }, { "r": "4.6.0", "os": "wasm", "version": "0.1.0", "date": "2026-06-03T18:33:01.000Z", "commit": "981778af06a2bb705e306da5b77993239c8edea5", "fileid": "82868b989c44d779eef0a55123ed64e1ca866986214bf172f93f5186d4729a1f", "status": "success", "buildurl": "https://github.com/r-universe/cran/actions/runs/26904773162" } ] }