RQuantLib 0.3.9
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A minor feature release RQuantLib 0.3.9
is now on CRAN and
in Debian.
RQuantLib
combines (some of) the quantitative analytics of
QuantLib with the
R statistical computing environment and language.
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Bryan Lewis had suggested to enable
another pricing engine for American Options in order to get (at least some)
Greeks. This is now supported by picking
engine="CrankNicolson" as shown in the default example for the
AmericanOption function:
R> library(RQuantLib)
R> example(AmericanOption)
AmrcnOR> # simple call with unnamed parameters
AmrcnOR> AmericanOption("call", 100, 100, 0.02, 0.03, 0.5, 0.4)
Concise summary of valuation for AmericanOption
value delta gamma vega theta rho divRho
11.3648 NA NA NA NA NA NA
AmrcnOR> # simple call with some explicit parameters
AmrcnOR> AmericanOption("put", strike=100, volatility=0.4, 100, 0.02, 0.03, 0.5)
Concise summary of valuation for AmericanOption
value delta gamma vega theta rho divRho
10.9174 NA NA NA NA NA NA
AmrcnOR> # simple call with unnamed parameters, using Crank-Nicolons
AmrcnOR> AmericanOption("put", strike=100, volatility=0.4, 100, 0.02, 0.03, 0.5, engine="CrankNicolson")
Concise summary of valuation for AmericanOption
value delta gamma vega theta rho divRho
10.9173 -0.4358 0.0140 NA NA NA NA
R>
Thanks to CRANberries, there is also a diff to the previous release 0.3.8. Full changelog details, examples and more details about this package are at my RQuantLib page.
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