simprice
, quincunx
, and Asian Monte Carlo
functionssimprice
now returns asset
and
trial
as factorsupper
and lower
bounds in
bscallimps
and bsputimps
highvol
and lowvol
bounds for
bscallimpvol
and bsputimpvol
New function simprice
, which produces simulated
lognormal price paths, with or without jumps.
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 casegreeks tidy
option renamed to complete
.
By default, this returns wide form results
long
(if complete=TRUE
, return long form
output)initcaps
: capitalize “Delta”, “Gamma”, etc.Breaking change:
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