rmcd1024/derivmkts

R package for option pricing

derivmkts's Issues

Document default scaling for greeks

Theta and psi are divided by 365 (scaled to be daily), but this needs to be specified in the greeks function help.

Forward start asian options

Add parameter to Monte Carlo functions to enable averaging to start at an intermediate date

Compute implied volatility for arbitrary pricing function

Want an impvol function that works like the greeks function

Revisit seed saving

Functions relying on random number generation are now highly confusing in 0.2.5:

• the simprice function saves the random seed silently, so repeated invocations will generate the same prices. This could be confusing; need an explicit argument to save the seed or not
• the Asian pricing function will always return the same answer if repeatedly invoked; again, there should be an explicit argument controlling this.

binomplot and setylim

binomplot(40, 40, .3, .08, 5, 0.1, 20, setylim=TRUE, ylimval=c(39, 150), plotvalues = TRUE)

The plotted values do not overlay the correct points. Probably need to subset the various matrices either before printing or carefully while printing.

Vectorize jump option price

Replace if () else with ifelse

Not working in parallel code

Hi, initially i strated calculating options Greeks using Rquantlib package but its installation is very difficult.

So, i decided to use "derivmkts" and found it good untill code was in sequential mode, but when i tried it in parallel mode using doMC and foreach on linux, it not working.

as i am using it for strategy development for algorithmic trading, i have to make it parallel, please help ....

Binomial calculations for options on futures

Options on futures need special handling because the futures premium is zero. The bond component of the replicating portfolio is the price of the option. Either add a parameter to binomopt or create a wrapper function that calls binomopt.

simprice should report nj for each period and trial

Names for assets in `simprice`

If simulating multiple assets, should be able to name (rather than just enumerate) the assets. Perhaps if the covariance matrix has names these can be automatically used.

In `greeks`, option `long` should subsume `complete`

It makes sense to have complete and be either wide or long, but if long, use cases make the most sense if dataframe is also complete.

Add `scalegreeks` parameter to greeks function

Add list that controls scaling? Default would be `scalegreeks=list(delta=1, gamma=1, theta=1/365, vega=1/100, rho=1/100, psi=1/100)