Package: derivmkts 0.2.5
derivmkts: Functions and R Code to Accompany Derivatives Markets
A set of pricing and expository functions that should be useful in teaching a course on financial derivatives.
Authors:
derivmkts_0.2.5.tar.gz
derivmkts_0.2.5.zip(r-4.5)derivmkts_0.2.5.zip(r-4.4)derivmkts_0.2.5.zip(r-4.3)
derivmkts_0.2.5.tgz(r-4.4-any)derivmkts_0.2.5.tgz(r-4.3-any)
derivmkts_0.2.5.tar.gz(r-4.5-noble)derivmkts_0.2.5.tar.gz(r-4.4-noble)
derivmkts_0.2.5.tgz(r-4.4-emscripten)derivmkts_0.2.5.tgz(r-4.3-emscripten)
derivmkts.pdf |derivmkts.html✨
derivmkts/json (API)
NEWS
| # Install 'derivmkts' in R: |
| install.packages('derivmkts', repos = c('https://rmcd1024.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/rmcd1024/derivmkts/issues
Last updated 2 years agofrom:b3f0c6ebee. Checks:ERROR: 1 WARNING: 6. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | FAIL | Nov 22 2024 |
| R-4.5-win | WARNING | Nov 22 2024 |
| R-4.5-linux | WARNING | Nov 22 2024 |
| R-4.4-win | WARNING | Nov 22 2024 |
| R-4.4-mac | WARNING | Nov 22 2024 |
| R-4.3-win | WARNING | Nov 22 2024 |
| R-4.3-mac | WARNING | Nov 22 2024 |
Exports:arithasianmcarithavgpricecvassetcallassetdicallassetdiputassetdocallassetdoputassetjumpassetputassetuicallassetuiputassetuocallassetuoputbinomoptbinomplotbinormsdistbondpvbondyieldbscallbscallimpsbscallimpvolbsoptbsputbsputimpsbsputimpvolcalldownincalldownoutcalloncallcallonputcallperpetualcallupincallupoutcashcallcashdicallcashdiputcashdocallcashdoputcashjumpcashputcashuicallcashuiputcashuocallcashuoputconvexitydicalldiputdocalldoputdrdrdeferreddurationgeomasianmcgeomavgpricegeomavgpricecallgeomavgpriceputgeomavgstrikegeomavgstrikecallgeomavgstrikeputgreeksgreeks2mertonjumpoptionsoncalloptionsonputputdowninputdownoutputoncallputonputputperpetualputupinputupoutquincunxsimpriceuicalluiputuocalluoputururdeferred
Dependencies:mnormt
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Asian Monte Carlo option pricing | arithasianmc |
| Control variate asian call price | arithavgpricecv |
| Geometric average asian options | asiangeomavg geomavgprice geomavgpricecall geomavgpriceput geomavgstrike geomavgstrikecall geomavgstrikeput |
| Barrier option pricing | assetdicall assetdiput assetdocall assetdoput assetuicall assetuiput assetuocall assetuoput barriers calldownin calldownout callupin callupout cashdicall cashdiput cashdocall cashdoput cashuicall cashuiput cashuocall cashuoput dicall diput docall doput dr drdeferred putdownin putdownout putupin putupout uicall uiput uocall uoput ur urdeferred |
| Binomial option pricing | binom binomial binomopt binomplot |
| Black-Scholes option pricing | assetcall assetput blksch bscall bsput cashcall cashput |
| Simple Bond Functions | bondpv bondsimple bondyield convexity duration |
| Compound options | binormsdist calloncall callonput compound optionsoncall optionsonput putoncall putonput |
| Geometric Asian option prices computed by Monte Carlo | geomasianmc |
| Calculate option Greeks | bsopt greeks greeks2 |
| Black-Scholes implied volatility and price | bscallimps bscallimpvol bsputimps bsputimpvol implied |
| Option pricing with jumps | assetjump cashjump jumps mertonjump |
| Perpetual American options | callperpetual perpetual putperpetual |
| Quincunx simulation | quincunx |
| Simulate asset prices | simprice |
