Your message dated Mon, 2 Aug 2010 06:24:18 -0500
with message-id <[email protected]>
and subject line Re: Bug#591276: r-cran-rquantlib: BinaryOption cash-put-euro
not as Haug
has caused the Debian Bug report #591276,
regarding r-cran-rquantlib: BinaryOption cash-put-euro not as Haug
to be marked as done.
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591276: http://bugs.debian.org/cgi-bin/bugreport.cgi?bug=591276
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--- Begin Message ---
Package: r-cran-rquantlib
Version: 0.2.8-1
Severity: normal
Hello Dirk,
# Haug via Eddelbeutel doesn't match
library(RQuantLib)
BinaryOption("cash", "put", "european",
underlying = 100,
dividendYield = 0,
riskFreeRate = 0.06,
maturity = 0.75,
strike=80,
volatility=0.35,
cashPayoff = 10);
> BinaryOption("cash", "put", "european",
+ underlying = 100,
+ dividendYield = 0,
+ riskFreeRate = 0.06,
+ maturity = 0.75,
+ strike=80,
+ volatility=0.35,
+ cashPayoff = 10);
Concise summary of valuation for BinaryOption
value delta gamma vega theta rho divRho
2.2155 -0.0962 0.0033 8.6306 -1.3038 -8.8749 7.2132
I checked QuantLib source and it references Haug with a value of 2.6710.
The "call" variant works.
-- System Information:
Debian Release: 5.0.5
APT prefers stable
APT policy: (700, 'stable'), (650, 'testing'), (600, 'unstable')
Architecture: i386 (i686)
Kernel: Linux 2.6.26-2-686 (SMP w/2 CPU cores)
Locale: LANG=C, LC_CTYPE=C (charmap=ANSI_X3.4-1968)
Shell: /bin/sh linked to /bin/bash
Versions of packages r-cran-rquantlib depends on:
ii libc6 2.11.2-2 Embedded GNU C Library: Shared lib
ii libgcc1 1:4.3.2-1.1 GCC support library
ii libquantlib-0.9.0 0.9.0.20071224-1 Quantitative Finance Library -- de
ii libstdc++6 4.4.4-6 The GNU Standard C++ Library v3
ii r-base-core 2.7.1-1+lenny1 GNU R core of statistical computin
r-cran-rquantlib recommends no packages.
r-cran-rquantlib suggests no packages.
-- no debconf information
--- End Message ---
--- Begin Message ---
Hi Walter
On 2 August 2010 at 10:33, Walter Eaves wrote:
| Dirk,
|
| Jeez, thanks. I missed that.
No sweat, this can happen. Closing the non-bug now.
| Sorry about that. I do make use of it rquantlib and I would like to
| contribute. What should I do?
I am sitting on a version that is 98% ready (mostly just waiting for Khanh on
some details for the asianoption + arithmetic average code).
This new version uses some newer Rcpp interfaces so we should start from
that.
One area where I should do more is validation and unit tests. It is looking
ok on options (but could still do more) and I was wondering if you poke
around there. In the easiest cases it is taking unit tests from QuantLib's
sources and re-using them here re-case as Rcpp calls. That is something
relatively easy, relatively incremental yet it gets you to the code.
But do start from SVN rather than the tarball on CRAN.
Does that make sense?
Cheers, Dirk
| Walter
|
| On 1 August 2010 19:27, Dirk Eddelbuettel <[email protected]> wrote:
|
| >
| > Hi Walter,
| >
| > Wow. I don't think I ever got a RQuantLib bug report.
| >
| > On 1 August 2010 at 18:08, Walter Eaves wrote:
| > | Hello Dirk,
| > |
| > | # Haug via Eddelbeutel doesn't match
| > |
| > | library(RQuantLib)
| > |
| > | BinaryOption("cash", "put", "european",
| > | underlying = 100,
| > | dividendYield = 0,
| > | riskFreeRate = 0.06,
| > | maturity = 0.75,
| > | strike=80,
| > | volatility=0.35,
| > | cashPayoff = 10);
| > |
| > | > BinaryOption("cash", "put", "european",
| > | + underlying = 100,
| > | + dividendYield = 0,
| > | + riskFreeRate = 0.06,
| > | + maturity = 0.75,
| > | + strike=80,
| > | + volatility=0.35,
| > | + cashPayoff = 10);
| > | Concise summary of valuation for BinaryOption
| > | value delta gamma vega theta rho divRho
| > | 2.2155 -0.0962 0.0033 8.6306 -1.3038 -8.8749 7.2132
| > |
| > | I checked QuantLib source and it references Haug with a value of 2.6710.
| >
| > Yes, looking at QuantLib's code, the file test-suite/digitaloption.cpp has
| >
| > DigitalOptionData values[] = {
| > // "Option pricing formulas", E.G. Haug, McGraw-Hill 1998 - pag 88
| > // type, strike, spot, q, r, t, vol, value, tol
| > { Option::Put, 80.00, 100.0, 0.06, 0.06, 0.75, 0.35, 2.6710, 1e-4
| > }
| > };
| >
| > Now, you sent in
| >
| >
| > > library(RQuantLib)
| > > BinaryOption("cash", "put", "european", underlying = 100, dividendYield =
| > 0, riskFreeRate = 0.06, maturity = 0.75, strike=80, volatility=0.35,
| > cashPayoff = 10)
| > Concise summary of valuation for BinaryOption
| > value delta gamma vega theta rho divRho
| > 2.2155 -0.0962 0.0033 8.6306 -1.3038 -8.8749 7.2132
| > >
| >
| > but the problem is that you have q=0 (div.yeild of zero) which the quotes
| > Huag example does not. If we correct that to
| >
| > > BinaryOption("cash", "put", "european", underlying = 100, dividendYield =
| > 0.06, riskFreeRate = 0.06, maturity = 0.75, strike=80, volatility=0.35,
| > cashPayoff = 10)
| > Concise summary of valuation for BinaryOption
| > value delta gamma vega theta rho divRho
| > 2.6710 -0.1061 0.0031 8.1539 -1.7423 -9.9577 7.9545
| > >
| >
| > Things pan out as expected. So ... no bug as best as I can tell.
| >
| > Thanks for your interest in RQuantLib. I appreciate the testing. If you are
| > interested in contributing more unit tests, I would welcome that and can
| > show
| > you how to contribute.
| >
| > Cheers, Dirk
| >
| > |
| > | The "call" variant works.
| > |
| > | -- System Information:
| > | Debian Release: 5.0.5
| > | APT prefers stable
| > | APT policy: (700, 'stable'), (650, 'testing'), (600, 'unstable')
| > | Architecture: i386 (i686)
| > |
| > | Kernel: Linux 2.6.26-2-686 (SMP w/2 CPU cores)
| > | Locale: LANG=C, LC_CTYPE=C (charmap=ANSI_X3.4-1968)
| > | Shell: /bin/sh linked to /bin/bash
| > |
| > | Versions of packages r-cran-rquantlib depends on:
| > | ii libc6 2.11.2-2 Embedded GNU C Library:
| > Shared lib
| > | ii libgcc1 1:4.3.2-1.1 GCC support library
| > | ii libquantlib-0.9.0 0.9.0.20071224-1 Quantitative Finance Library
| > -- de
| > | ii libstdc++6 4.4.4-6 The GNU Standard C++ Library
| > v3
| > | ii r-base-core 2.7.1-1+lenny1 GNU R core of statistical
| > computin
| > |
| > | r-cran-rquantlib recommends no packages.
| > |
| > | r-cran-rquantlib suggests no packages.
| > |
| > | -- no debconf information
| > |
| > |
| >
| > --
| > Dirk Eddelbuettel | [email protected] | http://dirk.eddelbuettel.com
| >
|
|
|
| --
| [email protected] http://www.bigfoot.com/~Walter.Eaves
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--
Dirk Eddelbuettel | [email protected] | http://dirk.eddelbuettel.com
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