Displaying 20 results from an estimated 45 matches for "foptions".
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2011 Oct 22
2
Segfault and bad output with fOptions::rnorm.sobol
...have had the following problem with R 2.10, 2.13.1, and 2.13.2, running on
Ubuntu linux 10.04, xubuntu 11.10, and a version of Redhat (I think 5).
rnorm.sobol is producing impossible random values, and occasionally the
routine crashes. Here are samples of the output and the crash message.
library(fOptions)
Zs <- rnorm.sobol(50, dimension=1)
produces this:
[,1]
[1,] 0.000000e+00
[2,] -3.550884e-28
[3,] -3.550884e-28
[4,] 7.297639e+37
[5,] -6.740677e+01
[6,] 7.297639e+37
[7,] -6.740677e+01
[8,] 3.648857e-09
[9,] NaN
etc.
Sometimes I get a segfault:
Rmetric...
2010 Sep 02
1
Using library and lib.loc
...some advices.
Let's say that I have two library trees.
Number 1 is the default R library tree on path1
Number 2 is another library tree on a server with all packages on path2.
When I set library(aaMI,lib.loc=paths2) it loads the package even if its not on default R library
When I set library(fOptions,lib.loc=paths2) it doesn't load because timeSeries is not on default R library (timeSeries is a required package for fOptions)
> library(fOptions,lib.loc=.lib.loc)
Le chargement a nécessité le package : timeDate
Le chargement a nécessité le package : timeSeries
Erreur : le package 'time...
2010 Nov 06
1
Extracting elements of a particular slot from S4 object
Hi there, can anyone tell me how to extract to values of a particular slot for some S4 object? Let take following example:
> library(fOptions)
> val <-GBSOption(TypeFlag = "c", S = 60, X = 65, Time = 1/4, r = 0.08, b = 0.08, sigma = 0.30)
> val
Title:
Black Scholes Option Valuation
Call:
GBSOption(TypeFlag = "c", S = 60, X = 65, Time = 1/4, r = 0.08,
b = 0.08, sigma = 0.3)
Parameters:
Va...
2007 Apr 20
1
Error: cannot change value of locked binding for
Hello R experts
What does this error means and how to resolve this issue (cannot change
value of locked binding for ). Please suggest
> mc = MonteCarloOption(dt = 1/360, pathLength = 30, mcSteps = 5000,
mcLoops =
+ 50, init = TRUE, innovations.gen = sobolInnovations, path.gen =
wienerPath,
+ payoff.calc = arithmeticAsianPayoff, antithetic = TRUE, standardization
=
+ FALSE, trace = TRUE,
2010 Dec 24
1
Help required: binomial option pricing using package
I'm using the CRRBinomialTreeOption function (in package "fOptions") with a
loop for pricing a large number of options. But I can't transfer the values
obtained from this function to a "numeric" matrix as the outcome of this
function is not a simple numeric.
The following is the piece of code:
# USING THE FUNCTION
library(fOptions)
option.pric...
2017 Nov 02
2
"prob" package alternative
...> Copyright (C) 2005-2014 Rmetrics Association Zurich
> Educational Software for Financial Engineering and Computational Science
> Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
> https://www.rmetrics.org --- Mail to: info at rmetrics.org
> Loading required package: fOptions
>
>
> Rmetrics Package fOptions
> Pricing and Evaluating Basic Options
> Copyright (C) 2005-2014 Rmetrics Association Zurich
> Educational Software for Financial Engineering and Computational Science
> Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
> https:...
2017 Nov 02
2
"prob" package alternative
...scription("fAsianOptions")
> Package: fAsianOptions
> Version: 3010.79
> Revision: 5522
> Date: 2013-06-23
> Title: EBM and Asian Option Valuation
> Author: Diethelm Wuertz and many others, see the SOURCE file
> Depends: R (>= 2.4.0), timeDate, timeSeries, fBasics, fOptions
> Suggests: RUnit
> Maintainer: Yohan Chalabi <yohan.chalabi at rmetrics.org>
> Description: Environment for teaching "Financial Engineering and
> Computational Finance"
> Note: Several parts are still preliminary and may be changed in the
> future. this
>...
2017 Nov 02
0
"prob" package alternative
...Capitan 10.11.6
>
packageDescription("fAsianOptions")
Package: fAsianOptions
Version: 3010.79
Revision: 5522
Date: 2013-06-23
Title: EBM and Asian Option Valuation
Author: Diethelm Wuertz and many others, see the SOURCE file
Depends: R (>= 2.4.0), timeDate, timeSeries, fBasics, fOptions
Suggests: RUnit
Maintainer: Yohan Chalabi <yohan.chalabi at rmetrics.org>
Description: Environment for teaching "Financial Engineering and Computational Finance"
Note: Several parts are still preliminary and may be changed in the future. this
typically includes function an...
2004 Jul 04
1
Rmetrics 191.10057
...found in
environment variables or options, as suggested by Dirk Eddelbuettel,
thanks Dirk.
2004-06-30 fExtremes/R
A new utility function named "gridVector" has been added which
creates all grid points from two vectors which span a rectangular
grid.
2004-06-29 fOptions/demo
A new example file named "funDensitiesEBM.R" has been added
which adds some distributions and related functions which are
useful in the theory of exponential Brownian Motion.
The functions compute densities and probabilities for the
log-Normal distribution, the Ga...
2017 Nov 02
2
"prob" package alternative
...)
> > Package: fAsianOptions
> > Version: 3010.79
> > Revision: 5522
> > Date: 2013-06-23
> > Title: EBM and Asian Option Valuation
> > Author: Diethelm Wuertz and many others, see the SOURCE file
> > Depends: R (>= 2.4.0), timeDate, timeSeries, fBasics, fOptions
> > Suggests: RUnit
> > Maintainer: Yohan Chalabi <yohan.chalabi at rmetrics.org>
> > Description: Environment for teaching "Financial Engineering and
> Computational Finance"
> > Note: Several parts are still preliminary and may be changed in the
> fut...
2017 Nov 02
0
"prob" package alternative
...scription("fAsianOptions")
> Package: fAsianOptions
> Version: 3010.79
> Revision: 5522
> Date: 2013-06-23
> Title: EBM and Asian Option Valuation
> Author: Diethelm Wuertz and many others, see the SOURCE file
> Depends: R (>= 2.4.0), timeDate, timeSeries, fBasics, fOptions
> Suggests: RUnit
> Maintainer: Yohan Chalabi <yohan.chalabi at rmetrics.org>
> Description: Environment for teaching "Financial Engineering and Computational Finance"
> Note: Several parts are still preliminary and may be changed in the future. this
> typic...
2017 Nov 01
0
"prob" package alternative
...ulating Basic Statistics
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info at rmetrics.org
Loading required package: fOptions
Rmetrics Package fOptions
Pricing and Evaluating Basic Options
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info a...
2017 Nov 01
2
"prob" package alternative
The prob package has been archived because it depends upon some other
packages which have issues.
However, such projects as Introduction to Probability and Statistics in R
depend upon it for learning. There are a few other resources that also use
it.
Does anyone know of any workarounds?
Someone at stack exchange mentioned using R 2.9. However, that broke my
RStudio (WSOD) and the dependent
2017 Nov 02
2
"prob" package alternative
...ions
> > > Version: 3010.79
> > > Revision: 5522
> > > Date: 2013-06-23
> > > Title: EBM and Asian Option Valuation
> > > Author: Diethelm Wuertz and many others, see the SOURCE file
> > > Depends: R (>= 2.4.0), timeDate, timeSeries, fBasics, fOptions
> > > Suggests: RUnit
> > > Maintainer: Yohan Chalabi <yohan.chalabi at rmetrics.org>
> > > Description: Environment for teaching "Financial Engineering and
> Computational Finance"
> > > Note: Several parts are still preliminary and may be cha...
2006 Aug 07
1
mathematica -> r (gamma function + integration)
...N) Exp[-dd/(2s^2)]
(Gamma[1/2,0,up] + Gamma[1/2,0,low]),{s,sL,sH},
MinRecursion->3];
PSV = psv/Sqrt[2NN];
Print["------------- Results ------------------------------------"];
Print[" "];
Print["p(sv|D_1D_2I) = const. ",N[PSV,6]];
########
# R part
library(fOptions)
###raw values for reproduction
NN <- 58
dd <- 0.411769
lownum <- 20.81512
upnum <- 6.741643
sL <- 0.029
sH <- 0.092
###
integpsv <- function(s) { 1 / (s^NN) * exp(-dd / (2 * s^2)) *
( (igamma((upnum/(2*s^2)),1/2) - igamma(0,1/2) ) +
(igamma((lownum/(2*s^2)),1/2) - igam...
2017 Nov 02
2
"prob" package alternative
...on: 3010.79
> > > > Revision: 5522
> > > > Date: 2013-06-23
> > > > Title: EBM and Asian Option Valuation
> > > > Author: Diethelm Wuertz and many others, see the SOURCE file
> > > > Depends: R (>= 2.4.0), timeDate, timeSeries, fBasics, fOptions
> > > > Suggests: RUnit
> > > > Maintainer: Yohan Chalabi <yohan.chalabi at rmetrics.org>
> > > > Description: Environment for teaching "Financial Engineering and
> Computational Finance"
> > > > Note: Several parts are still prelim...
2017 Nov 02
0
"prob" package alternative
...)
> > Package: fAsianOptions
> > Version: 3010.79
> > Revision: 5522
> > Date: 2013-06-23
> > Title: EBM and Asian Option Valuation
> > Author: Diethelm Wuertz and many others, see the SOURCE file
> > Depends: R (>= 2.4.0), timeDate, timeSeries, fBasics, fOptions
> > Suggests: RUnit
> > Maintainer: Yohan Chalabi <yohan.chalabi at rmetrics.org>
> > Description: Environment for teaching "Financial Engineering and Computational Finance"
> > Note: Several parts are still preliminary and may be changed in the future. this...
2017 Nov 02
0
"prob" package alternative
...on: 3010.79
> > > > Revision: 5522
> > > > Date: 2013-06-23
> > > > Title: EBM and Asian Option Valuation
> > > > Author: Diethelm Wuertz and many others, see the SOURCE file
> > > > Depends: R (>= 2.4.0), timeDate, timeSeries, fBasics, fOptions
> > > > Suggests: RUnit
> > > > Maintainer: Yohan Chalabi <yohan.chalabi at rmetrics.org>
> > > > Description: Environment for teaching "Financial Engineering and Computational Finance"
> > > > Note: Several parts are still preliminary...
2017 Nov 02
0
"prob" package alternative
...ions
> > > Version: 3010.79
> > > Revision: 5522
> > > Date: 2013-06-23
> > > Title: EBM and Asian Option Valuation
> > > Author: Diethelm Wuertz and many others, see the SOURCE file
> > > Depends: R (>= 2.4.0), timeDate, timeSeries, fBasics, fOptions
> > > Suggests: RUnit
> > > Maintainer: Yohan Chalabi <yohan.chalabi at rmetrics.org>
> > > Description: Environment for teaching "Financial Engineering and Computational Finance"
> > > Note: Several parts are still preliminary and may be changed...
1999 Dec 07
0
Minimize function of several variables?
...3) is
% the termination tolerance for F(x); the default is 1.e-4.
% OPTIONS(14) is the maximum number of function evaluations; the
% default is OPTIONS(14) = 200*length(x). The other components of
% OPTIONS are not used as input control parameters by FMIN.
% For more information, see FOPTIONS.
%
% X = FMINS('F',X0,OPTIONS,[],P1,P2,...) provides for additional
% arguments which are passed to the objective function, F(X,P1,P2,...)
% Pass an empty matrix for OPTIONS to use the default value.
%
% [X,OPTIONS] = FMINS(...) returns the number of function evaluations
% in OPTI...