Tolga,
You might be interested in the quantlib library: http://quantlib.org/.
Currently, a wrapper for R can be found at
http://dirk.eddelbuettel.com/code/rquantlib.html.
Regards,
Jeff Hammerbacher
On 6/15/06, Tolga Uzuner <tolga@coubros.com>
wrote:>
> Hi,
>
> Does anyone know a package which prices simple one-touch options, say
> using Rmetrics ? I want something which simply has a discontinuous
> payoff if an asset touches a single level. No knock-in or knock-out
> features.
>
> Thanks,
> Tolga
>
> ______________________________________________
> R-help@stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide!
> http://www.R-project.org/posting-guide.html
>
[[alternative HTML version deleted]]