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.
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