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.

Author
Robert McDonald [aut, cre, cph]
Date of publication
2016-09-05 04:16:35
Maintainer
Robert McDonald <rmcd1024@gmail.com>
License
MIT + file LICENSE
Version
0.2.2

View on CRAN

Man pages

arithasianmc
Asian Monte Carlo option pricing
arithavgpricecv
Control variate asian call price
asiangeomavg
Geometric average asian options
barriers
Barrier option pricing
binom
Binomial option pricing
blksch
Black-Scholes option pricing
bondsimple
Simple Bond Functions
compound
Compound options
geomasianmc
Geometric Asian option prices computed by Monte Carlo
greeks
Calculate option Greeks
implied
Black-Scholes implied volatility and price
jumps
Option pricing with jumps
perpetual
Perpetual American options
quincunx
Quincunx simulation

Files in this package

derivmkts
derivmkts/inst
derivmkts/inst/doc
derivmkts/inst/doc/derivmkts-vignette.R
derivmkts/inst/doc/derivmkts-vignette.Rnw
derivmkts/inst/doc/derivmkts-vignette.pdf
derivmkts/inst/doc/Notes-on-vectorization.pdf
derivmkts/inst/doc/Notes-on-vectorization.R
derivmkts/inst/doc/Notes-on-vectorization.Rnw
derivmkts/tests
derivmkts/tests/testthat
derivmkts/tests/testthat/compound_tests.R
derivmkts/tests/testthat/greeks_tests.R
derivmkts/tests/testthat/jump_tests.R
derivmkts/tests/testthat/test.R
derivmkts/tests/testthat/barrier_tests.R
derivmkts/tests/testthat/binom_tests.R
derivmkts/tests/testthat/option_testvalues.Rdata
derivmkts/tests/testthat/blksch_tests.R
derivmkts/tests/testthat/perpetual_tests.R
derivmkts/tests/testthat/implied_test.R
derivmkts/tests/testthat/bondsimple_test.R
derivmkts/tests/testthat/asian_tests.R
derivmkts/NAMESPACE
derivmkts/NEWS.md
derivmkts/R
derivmkts/R/compound.R
derivmkts/R/perpetual.R
derivmkts/R/quincunx.R
derivmkts/R/implied.R
derivmkts/R/binom.R
derivmkts/R/asianmontecarlo.R
derivmkts/R/blksch.R
derivmkts/R/asiangeomavg.R
derivmkts/R/barriers.R
derivmkts/R/jumps.R
derivmkts/R/bondsimple.R
derivmkts/R/util.R
derivmkts/R/greeks.R
derivmkts/vignettes
derivmkts/vignettes/derivmkts-vignette.Rnw
derivmkts/vignettes/derivmkts.bib
derivmkts/vignettes/book2.bst
derivmkts/vignettes/derivmkts.R
derivmkts/vignettes/Notes-on-vectorization.Rnw
derivmkts/MD5
derivmkts/build
derivmkts/build/vignette.rds
derivmkts/DESCRIPTION
derivmkts/man
derivmkts/man/implied.Rd
derivmkts/man/asiangeomavg.Rd
derivmkts/man/jumps.Rd
derivmkts/man/blksch.Rd
derivmkts/man/barriers.Rd
derivmkts/man/arithavgpricecv.Rd
derivmkts/man/bondsimple.Rd
derivmkts/man/arithasianmc.Rd
derivmkts/man/greeks.Rd
derivmkts/man/quincunx.Rd
derivmkts/man/binom.Rd
derivmkts/man/compound.Rd
derivmkts/man/geomasianmc.Rd
derivmkts/man/perpetual.Rd
derivmkts/LICENSE