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## RQuantLib -- R interface to the QuantLib libraries
##
## Copyright (C) 2002 - 2014 Dirk Eddelbuettel <edd@debian.org>
## Copyright (C) 2009 Khanh Nguyen <knguyen@cs.umb.edu>
##
## 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/>.
AsianOption <- function(averageType, type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility,
first, length, fixings) {
UseMethod("AsianOption")
}
AsianOption.default <- function(averageType, type, underlying, strike, dividendYield,
riskFreeRate, maturity, volatility,
first=0, length=11.0/12.0, fixings=26) {
averageType <- match.arg(averageType, c("geometric", "arithmetic"))
type <- match.arg(type, c("call", "put"))
if (missing(maturity)) {
if (averageType=="geometric") {
warning("Geometric Asian Option requires maturity argument")
return(NULL)
} else {
maturity <- 1.0 # actually unused for arithmetic option case
}
}
val <- asianOptionEngine(averageType, type, underlying,
strike, dividendYield, riskFreeRate,
maturity, volatility,
first, length, fixings)
class(val) <- c("AsianOption","Option")
val
}
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