The package allows for efficient calculation of certain European style derivatives (call options, digital options) via transform methods. The code is fully vectorized in the following dimensions: strike range, maturity, state variable value (for stochastic volatility models). The user has to pass a characteristic function evaluator as an argument to the transform pricers. By default, the package affineModelR, which implements a wide range of jump diffusion specifications in fast c++ code, is used as the characteristic function backend.
Package details 


Author  Piotr Orlowski, Andras Sali 
Maintainer  Piotr Orlowski <[email protected]> 
License  GPL (>= 2) 
Version  0.1 
Package repository  View on GitHub 
Installation 
Install the latest version of this package by entering the following in R:

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