simprice
, which produces simulated lognormal price
paths, with or without jumps.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
greeks tidy
option renamed to complete
Added options to greeks
:
complete
if TRUE
, return all inputs and greeks for each casetidy
option renamed to complete
. By default, this returns
wide form resultslong
(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
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
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
Binomopt
greeks
callperpetual and putperpetual functions added to barriers.R
Asian options
First CRAN release
Completed vignette
added simple bond functions (yield, pv, duration, convexity)
fixed problem with vectorization in barrier options
Greeks (delta, gamma, theta, added to binomial output)
With returntrees=TRUE, returns replicating portfolio components ($bond and $delta)
binomopt
and plotting of the binomial
tree with binomplot
First version. Includes:
basic Black-Scholes functions and Greeks
barrier pricing
implied volatility
quincunx (Galton board) function to illustrate the central limit theorem
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