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:Robert McDonald [aut, cre, cph]

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-4.5-any)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

On CRAN:

Conda:

5.13 score 36 stars 75 scripts 952 downloads 78 exports 1 dependencies

Last updated 3 years agofrom:b3f0c6ebee. Checks:1 ERROR, 7 WARNING. Indexed: yes.

TargetResultLatest binary
Doc / VignettesFAILFeb 20 2025
R-4.5-winWARNINGFeb 20 2025
R-4.5-macWARNINGFeb 20 2025
R-4.5-linuxWARNINGFeb 20 2025
R-4.4-winWARNINGFeb 20 2025
R-4.4-macWARNINGFeb 20 2025
R-4.3-winWARNINGFeb 20 2025
R-4.3-macWARNINGFeb 20 2025

Exports:arithasianmcarithavgpricecvassetcallassetdicallassetdiputassetdocallassetdoputassetjumpassetputassetuicallassetuiputassetuocallassetuoputbinomoptbinomplotbinormsdistbondpvbondyieldbscallbscallimpsbscallimpvolbsoptbsputbsputimpsbsputimpvolcalldownincalldownoutcalloncallcallonputcallperpetualcallupincallupoutcashcallcashdicallcashdiputcashdocallcashdoputcashjumpcashputcashuicallcashuiputcashuocallcashuoputconvexitydicalldiputdocalldoputdrdrdeferreddurationgeomasianmcgeomavgpricegeomavgpricecallgeomavgpriceputgeomavgstrikegeomavgstrikecallgeomavgstrikeputgreeksgreeks2mertonjumpoptionsoncalloptionsonputputdowninputdownoutputoncallputonputputperpetualputupinputupoutquincunxsimpriceuicalluiputuocalluoputururdeferred

Dependencies:mnormt

Readme and manuals

Help Manual

Help pageTopics
Asian Monte Carlo option pricingarithasianmc
Control variate asian call pricearithavgpricecv
Geometric average asian optionsasiangeomavg geomavgprice geomavgpricecall geomavgpriceput geomavgstrike geomavgstrikecall geomavgstrikeput
Barrier option pricingassetdicall 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 pricingbinom binomial binomopt binomplot
Black-Scholes option pricingassetcall assetput blksch bscall bsput cashcall cashput
Simple Bond Functionsbondpv bondsimple bondyield convexity duration
Compound optionsbinormsdist calloncall callonput compound optionsoncall optionsonput putoncall putonput
Geometric Asian option prices computed by Monte Carlogeomasianmc
Calculate option Greeksbsopt greeks greeks2
Black-Scholes implied volatility and pricebscallimps bscallimpvol bsputimps bsputimpvol implied
Option pricing with jumpsassetjump cashjump jumps mertonjump
Perpetual American optionscallperpetual perpetual putperpetual
Quincunx simulationquincunx
Simulate asset pricessimprice