similar to: Help required: binomial option pricing using package

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 =

Hi, I'm trying to construct what I think should be a fairly simple plot, yet I'm having a tremendously difficult time. I'm trying to create a very simple graph showing the effect of interest rates on option prices. I have three sets of option prices that I've calculated using rMetrics. Each set contains a call price and a put price at a particular interest rate. Each

Hi, I didn't find any post on this subject so I ll ask you 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

I 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,]

Bill, Alberto, Gabor, Thank you for answering my question. Now I learned about outer() function. That was a straightforward example. But what if I had a matrix, where the last column was filled with values first (again, a for loop), and the rest was filled by using a double loop? OVal <- matrix(0, n+1, n+1) for(i in 0:n){ OVal[i+1, n+1] <- max(Val[i+1, n+1]-K, 0) } for(i in seq(n,1,

> On Nov 2, 2017, at 11:15 AM, Tiby Kantrowitz <tlkantro at gmail.com> wrote: > > The issue is fAsianOptions. Is there a version that works with the latest version of R? If not, which version of it works with which version of R and where can it be found? I tried several at the archive already. sessionInfo() R version 3.4.2 Patched (2017-10-04 r73465) Platform:

Yes. That's the version I've been discussing that has non-zero exit status. That situation is why CRAN retired the prob package. It's possible you installed that library earlier in development and it's been "carried" along. It no longer installs, now. The problems with all of this seem to have started this month according to the conversations. However, no one has

The issue is fAsianOptions. Is there a version that works with the latest version of R? If not, which version of it works with which version of R and where can it be found? I tried several at the archive already. Alternatively, is there another package that behaves similarly to prob? On Wed, Nov 1, 2017 at 6:17 PM, David Winsemius <dwinsemius at comcast.net> wrote: > > > On Nov

> On Nov 2, 2017, at 12:07 PM, Tiby Kantrowitz <tlkantro at gmail.com> wrote: > > Yes. That's the version I've been discussing that has non-zero exit status. That situation is why CRAN retired the prob package. It's possible you installed that library earlier in development and it's been "carried" along. It no longer installs, now. > > The problems

Hi, I am trying to create a perspective plot with Time on the x-axis, Underlying Price on the y-axis, and Option Price on the z-axis. But I don't like the way my x-axis is setup. Right now, Time is this sequence. Time = seq(from = 1/52, to = 1, by=1/52) That results in the x-axis going from 0 at the back, to 1 near the foreground corner.(If that makes any sense) I want to do the

> On Nov 1, 2017, at 12:51 PM, Tiby Kantrowitz <tlkantro at gmail.com> wrote: > > 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

Yes, that is exactly what I was doing two days ago. Warning in install.packages : installation of package ?fAsianOptions_3010.79.tar.gz? had non-zero exit status Which is what a reading of the explanation for why "prob" was retired leads one to expect. Do you have some other suggestion about how to get it to work? I notice you're not using Windows which might have a relationship

Hi, I am currently doing a project in which I wish to calculate the calculate the theoretical price of options using the following models: 1. Constant Elasticity of Variance (CEV) model 2. Merton's jump diffusion model 3. Variance Gamma model I am not sure as to how to implement this in R. I request you to help me in this regard. Thanks, ~Suman

> On Nov 2, 2017, at 1:09 PM, Tiby Kantrowitz <tlkantro at gmail.com> wrote: > > Yes, that is exactly what I was doing two days ago. > > Warning in install.packages : > installation of package ?fAsianOptions_3010.79.tar.gz? had non-zero exit status > > Which is what a reading of the explanation for why "prob" was retired leads one to expect. Do you have

Rtools is not available for the current version of R. What I'm looking for is an alternative package or how others have managed to create workarounds. On Thu, Nov 2, 2017 at 4:25 PM, David Winsemius <dwinsemius at comcast.net> wrote: > > > On Nov 2, 2017, at 1:09 PM, Tiby Kantrowitz <tlkantro at gmail.com> wrote: > > > > Yes, that is exactly what I was doing

Dear R-list, I try to transform a mathematica script to R. #######relevant part of the Mathematica script (* p_sv *) dd = NN (DsD - DD^2); lownum = NN (L-DD)^2; upnum = NN (H-DD)^2; low = lownum/(2s^2); up = upnum/(2s^2); psv = NIntegrate[1/(s^NN) 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

> On Nov 2, 2017, at 3:46 PM, Tiby Kantrowitz <tlkantro at gmail.com> wrote: > > Thanks. I found that, and installed it and got the same message. Here: > > RTools version 3.4 > > install.packages("fAsianOptions_3010.tar.gz", I don't see a path to that file's location. The expansion from pkg_version.tar.gz might be automatic, but I do generally

Thanks. I found that, and installed it and got the same message. Here: RTools version 3.4 install.packages("fAsianOptions_3010.tar.gz", dependencies=TRUE, repos=NULL, type = "source") Installing package into ?C:/Users/Tlk7/Documents/R/win-library/3.4? (as ?lib? is unspecified) Warning: invalid package 'fAsianOptions_3010.tar.gz' Error: ERROR: no packages specified

> On Nov 2, 2017, at 2:14 PM, Tiby Kantrowitz <tlkantro at gmail.com> wrote: > > Rtools is not available for the current version of R. Really? If true, I'm surprised and not able to help. I do see an Rtools34.exe at https://cran.r-project.org/bin/windows/Rtools/ -- David. > > What I'm looking for is an alternative package or how others have managed to create

Is it true that every time we make a change in the configuration file we need to restart the asterisk server. This will not be practical in the production environment. Thanks,