RQuantLib is at an early stage: I only defined two basic classes Option and
ImpliedVolatility with print and summary methods, and European and American
options on top of them. Binary Options are also available for the option
calculator. I opted for (named) lists as input and output types. These
functions are "scalar" and operate on one option at a time. One other cute
function is EuropeanOptionArrays which allows for vectors of any of the
numeric input variables, and returns an appropriate multidimensional array of
all possible valuation combinations. The example() function plots a few
The package, and well as a little more documentation, is also at
At 11:13 PM 2/25/02 -0600, Dirk Eddelbuettel wrote:
>I just uploaded an initial RQuantLib package to R's site in Vienna.
one word: great!
As for the binary option bug you're mentioning: I just had a look at the
code for BinaryOption and screamed in horror. Out of charity, I'm not going
to find out who wrote it: I'll just try and fix it :)