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## RQuantLib -- R interface to the QuantLib libraries
##
## Copyright (C) 2002 - 2016 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/>.
EuropeanOption <- function(type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility,
discreteDividends = NULL, discreteDividendsTimeUntil = NULL) {
UseMethod("EuropeanOption")
}
EuropeanOption.default <- function(type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility,
discreteDividends = NULL, discreteDividendsTimeUntil = NULL) {
type <- match.arg(type, c("call", "put"))
val <- europeanOptionEngine(type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility,
discreteDividends, discreteDividendsTimeUntil)
class(val) <- c("EuropeanOption", "Option")
val
}
AmericanOption <- function(type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility,
timeSteps=150, gridPoints=149,
engine="BaroneAdesiWhaley",
discreteDividends = NULL, discreteDividendsTimeUntil = NULL) {
UseMethod("AmericanOption")
}
AmericanOption.default <- function(type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility,
timeSteps=150, gridPoints=149,
engine="BaroneAdesiWhaley",
discreteDividends = NULL, discreteDividendsTimeUntil = NULL) {
type <- match.arg(type, c("call", "put"))
engine <- match.arg(engine, c("BaroneAdesiWhaley", "CrankNicolson"))
val <- americanOptionEngine(type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility,
timeSteps, gridPoints, engine,
discreteDividends, discreteDividendsTimeUntil)
class(val) <- c("AmericanOption","Option")
val
}
BinaryOption <- function(binType, type, excType, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility,
cashPayoff) {
UseMethod("BinaryOption")
}
BinaryOption.default <- function(binType, type, excType, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility,
cashPayoff) {
type <- match.arg(type, c("call", "put"))
binType <- match.arg(binType, c("cash", "asset", "gap"))
excType <- match.arg(excType, c("american", "european"))
val <- binaryOptionEngine(binType, type, excType, underlying,
strike, dividendYield, riskFreeRate,
maturity, volatility, cashPayoff)
class(val) <- c("BinaryOption", "Option")
val
}
BarrierOption <- function(barrType, type, underlying, strike,
dividendYield, riskFreeRate, maturity,
volatility, barrier, rebate=0.0) {
UseMethod("BarrierOption")
}
BarrierOption.default <- function(barrType, type, underlying, strike,
dividendYield, riskFreeRate, maturity,
volatility, barrier, rebate=0.0) {
type <- match.arg(type, c("call", "put"))
barrType <- match.arg(barrType, c("downin", "upin", "downout", "upout"))
val <- barrierOptionEngine(barrType, type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility, barrier, rebate)
class(val) <- c("BarrierOption", "Option")
val
}
plot.Option <- function(x, ...) {
warning("No plotting available for class", class(x)[1],"\n")
invisible(x)
}
print.Option <- function(x, digits=4, ...) {
cat("Concise summary of valuation for", class(x)[1], "\n")
print(round(unlist(x[1:7]), digits))
invisible(x)
}
summary.Option <- function(object, digits=4, ...) {
cat("Detailed summary of valuation for", class(object)[1], "\n")
print(round(unlist(object[1:7]), digits))
cat("with parameters\n")
print(unlist(object[["parameters"]]))
invisible(object)
}
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