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## RQuantLib -- R interface to the QuantLib libraries
##
## Copyright (C) 2002 - 2014 Dirk Eddelbuettel <edd@debian.org>
##
## This file is part of RQuantLib.
##
## RQuantLib is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 2 of the License, or
## (at your option) any later version.
##
## RQuantLib is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with RQuantLib. If not, see <http://www.gnu.org/licenses/>.
## also dumps core (0.3.7)
## no longer under 0.3.9 and 0.3.10 with g++ 3.4/4.0
EuropeanOptionImpliedVolatility <- function(type, value, underlying,
strike, dividendYield,
riskFreeRate, maturity,
volatility) {
UseMethod("EuropeanOptionImpliedVolatility")
}
EuropeanOptionImpliedVolatility.default <- function(type, value, underlying,
strike, dividendYield,
riskFreeRate, maturity,
volatility) {
val <- europeanOptionImpliedVolatilityEngine(type, value, underlying, strike,
dividendYield, riskFreeRate,
maturity, volatility)
class(val) <- c("EuropeanOptionImpliedVolatility","ImpliedVolatility")
val
}
# also dumps core (0.3.7)
## no longer under 0.3.9 and 0.3.10 with g++ 3.4/4.0
AmericanOptionImpliedVolatility <- function(type, value, underlying, strike,
dividendYield, riskFreeRate,
maturity, volatility,
timeSteps=150, gridPoints=151) {
UseMethod("AmericanOptionImpliedVolatility")
}
AmericanOptionImpliedVolatility.default <- function(type, value, underlying, strike,
dividendYield, riskFreeRate, maturity,
volatility, timeSteps=150, gridPoints=151) {
val <- americanOptionImpliedVolatilityEngine(type, value, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility, timeSteps, gridPoints)
class(val) <- c("AmericanOptionImpliedVolatility","ImpliedVolatility")
val
}
BinaryOptionImpliedVolatility <- function(type, value, underlying, strike, dividendYield, riskFreeRate,
maturity, volatility, cashPayoff=1) {
UseMethod("BinaryOptionImpliedVolatility")
}
BinaryOptionImpliedVolatility.default <- function(type, value, underlying, strike, dividendYield, riskFreeRate,
maturity, volatility, cashPayoff=1) {
val <- binaryOptionImpliedVolatilityEngine(type, value, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility, cashPayoff)
class(val) <- c("BinaryOptionImpliedVolatility","ImpliedVolatility")
val
}
print.ImpliedVolatility <- function(x, digits=3, ...) {
impvol <- x[[1]]
cat("Implied Volatility for", class(x)[1], "is", round(impvol, digits), "\n")
invisible(x)
}
summary.ImpliedVolatility <- function(object, digits=3, ...) {
impvol <- object[[1]]
cat("Implied Volatility for", class(object)[1], "is", round(impvol, digits), "\n")
cat("with parameters\n")
print(unlist(object[[2]]))
invisible(object)
}
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