NNS 11.2 Beta

Author: OVVO-Financial

DESCRIPTION

@@ -2,7 +2,7 @@ Package: NNS
 Type: Package
 Title: Nonlinear Nonparametric Statistics
 Version: 11.2
-Date: 2025-03-17
+Date: 2025-03-23
 Authors@R: c(
   person("Fred", "Viole", role=c("aut","cre"), email="[email protected]"),
   person("Roberto", "Spadim", role=c("ctb"))

NNS_11.2.tar.gz

@@ -128,26 +128,68 @@ NNS.gravity <- function (x, discrete = FALSE)
 
 #' NNS rescale
 #'
-#' Rescale min-max scaling output between two numbers.
+#' Rescale a vector using either min-max scaling or risk-neutral adjustment.
 #'
-#' @param x vector of data.
-#' @param a numeric; lower limit.
-#' @param b numeric; upper limit.
-#' @return Returns a rescaled distribution within provided limits.
+#' @param x numeric vector; data to rescale (e.g., terminal prices for risk-neutral method).
+#' @param a numeric; defines the scaling target:
+#'   - For \code{method = "minmax"}: the lower limit of the output range (e.g., 5 to scale to [5, b]).
+#'   - For \code{method = "riskneutral"}: the initial price \( S_0 \) (must be positive, e.g., 100), used to set the target mean.
+#' @param b numeric; defines the scaling range or rate:
+#'   - For \code{method = "minmax"}: the upper limit of the output range (e.g., 10 to scale to [a, 10]).
+#'   - For \code{method = "riskneutral"}: the risk-free rate \( r \) (e.g., 0.05), used with \( T \) to adjust the mean.
+#' @param method character; scaling method: \code{"minmax"} (default) for min-max scaling, or \code{"riskneutral"} for risk-neutral adjustment.
+#' @param T numeric; time to maturity in years (required for \code{method = "riskneutral"}, ignored otherwise; e.g., 1). Default is NULL.
+#' @param type character; for \code{method = "riskneutral"}: \code{"Terminal"} (default, mean = \( S_0 e^{r T} \)) or \code{"Discounted"} (mean = \( S_0 \)).
+#' @return Returns a rescaled distribution:
+#'   - For \code{"minmax"}: values scaled linearly to the range \code{[a, b]}.
+#'   - For \code{"riskneutral"}: values scaled multiplicatively to a risk-neutral mean (\( S_0 e^{r T} \) if \code{type = "Terminal"}, or \( S_0 \) if \code{type = "Discounted"}).
 #' @author Fred Viole, OVVO Financial Systems
 #' @examples
 #' \dontrun{
 #' set.seed(123)
+#' # Min-max scaling: a = lower limit, b = upper limit
 #' x <- rnorm(100)
-#' NNS.rescale(x, 5, 10)
+#' NNS.rescale(x, a = 5, b = 10, method = "minmax")  # Scales to [5, 10]
+#' 
+#' # Risk-neutral scaling (Terminal): a = S_0, b = r  # Mean ≈ 105.13
+#' prices <- 100 * exp(cumsum(rnorm(100, 0.001, 0.02)))
+#' NNS.rescale(prices, a = 100, b = 0.05, method = "riskneutral", T = 1, type = "Terminal")
+#' 
+#' # Risk-neutral scaling (Discounted): a = S_0, b = r  # Mean ≈ 100
+#' NNS.rescale(prices, a = 100, b = 0.05, method = "riskneutral", T = 1, type = "Discounted")
 #' }
 #' @export
 
-
-NNS.rescale <- function (x, a, b) {
+NNS.rescale <- function(x, a, b, method = "minmax", T = NULL, type = "Terminal") {
   x <- as.numeric(x)
-  output <- a + (b - a) * (x - min(x))/(max(x) - min(x))
+  method <- tolower(method)
+  type <- tolower(type)
+  
+  if (method == "minmax") {
+    # Original min-max scaling
+    if (max(x) == min(x)) stop("Cannot rescale: max(x) equals min(x)")
+    output <- a + (b - a) * (x - min(x)) / (max(x) - min(x))
+  } else if (method == "riskneutral") {
+    # Risk-neutral scaling
+    if (is.null(T)) stop("T (time to maturity) must be provided for riskneutral method")
+    if (a <= 0) stop("S_0 (a) must be positive for riskneutral method")
+    S_0 <- a  # Initial price
+    r <- b    # Risk-free rate
+    
+    if (type == "terminal") {
+      # Scale to S_0 * e^(r * T)
+      theta <- log(S_0 * exp(r * T) / mean(x))
+      output <- x * exp(theta)  # Mean = S_0 * e^(r * T)
+    } else if (type == "discounted") {
+      # Scale to S_0
+      theta <- log(S_0 / mean(x))
+      output <- x * exp(theta)  # Mean = S_0
+    } else {
+      stop("Invalid type: use 'Terminal' or 'Discounted' for riskneutral method")
+    }
+  } else {
+    stop("Invalid method: use 'minmax' or 'riskneutral'")
+  }
+  
   return(output)
-}
-
-
+}