NEWS

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derivmkts 0.2.6.9000

• Need ability to turn random number seed restoration on and off in the functions that do this. Should be false by default (not yet implemented)

derivmkts 0.2.5 (2022-04-11)

• Saving and restoring random number seed should now work properly in simprice, quincunx, and Asian Monte Carlo functions
• simprice now returns asset and trial as factors
• Vignette revisions
• Configurable tolerance for zero finding implied price and volatility functions
• Configurable upper and lower bounds in bscallimps and bsputimps
• Configurable highvol and lowvol bounds for bscallimpvol and bsputimpvol
• Compute elast (greeks.R) for negative premium positions

derivmkts 0.2.4 (2019-06-06)

• New function simprice, which produces simulated lognormal price paths, with or without jumps.

  • Paths can be split into subperiods, e.g. to value Asian options
  • By supplying a covariance matrix, simprice will return multiple correlated price paths.

• In greeks, specifying long=TRUE now also implies complete=TRUE (#3)

• The mertonjump function now returns a dataframe, has a complete option and handles vectorized lambda

derivmkts 0.2.3 (2018-06-19)

• greeks tidy option renamed to complete

• Added options to greeks:

  • complete if TRUE, return all inputs and greeks for each case

• greeks tidy option renamed to complete. By default, this returns wide form results

  • long (if complete=TRUE, return long form output)
  • initcaps: capitalize "Delta", "Gamma", etc.

• Breaking change:

  • option value is now returned as "premium" rather than "price"; the term "price" is ambiguous (e.g. a futures price is 100 but the value of the contract --- the premium --- is 0)

• Fixed greeks elast calculation for barrier options --- would return Inf when close to out barrier (fixelast branch)

• added dependency on testthat

derivmkts 0.2.2.1 (2018-04-05)

Primarily a maintenance release with one new feature (tidy output)

• Added tidy parameter to greeks function to return output in wide tidy format. This is FALSE by default, for compatability.

• Fix: if a parameter in the function passed to greeks uses the index "i", the eval step in Greeks fails (because the eval loop also uses "i"). The index variable is now z91k25

• Fix: spurious "break" in implied.R

derivmkts 0.2.2 (2016-09-05)

• Functions for compound options (call on call, call on put, etc.)

• Binomplot: Option for log y axis

• New vignette discussing alternative ways to write vectorized functions

derivmkts 0.2.1 (2016-06-27)

• Binomopt

  • Fixed: default dn=1.5 in binomopt and binomplot
  • Added "returnprice" parameter to binomplot

• greeks

  • Simplification of Greeks discussion in README.Rmd
  • Greeks function ignores theta when appropriate (perpetual options)

• callperpetual and putperpetual functions added to barriers.R

• Asian options

  • Added individual geomavgpricecall, geomavgpriceput, geomavgstrikecall, and geomavgstrikeput functions.
  • Fixed greeks functionality for asian options

derivmkts 0.2.0 (2016-05-08)

• First CRAN release

• Completed vignette

derivmkts 0.1.3.9000

• added simple bond functions (yield, pv, duration, convexity)

• fixed problem with vectorization in barrier options

derivmkts 0.1.2.9000

• Added Asian pricing files

derivmkts 0.1.1.9000

• Greeks (delta, gamma, theta, added to binomial output)

• With returntrees=TRUE, returns replicating portfolio components ($bond and $delta)

derivmkts 0.1.0.9000

• Added binomial pricing via binomopt and plotting of the binomial tree with binomplot

derivmkts 0.0.0.9000

First version. Includes:

• basic Black-Scholes functions and Greeks

• barrier pricing

• implied volatility

• quincunx (Galton board) function to illustrate the central limit theorem