Functions and R Code to Accompany Derivatives Markets

A set of pricing and expository functions that should be useful in teaching a course on financial derivatives.


News

derivmkts 0.2.3

  • greeks tidy option renamed to complete

  • Added options to greeks:

    • complete if TRUE, return all inputs and greeks for each case
  • greeks tidy option renamed to complete. By default, this returns wide form results

    • long (if complete=TRUE, return long form output)
    • initcaps: capitalize "Delta", "Gamma", etc.
  • Breaking change:

    • option value is now returned as "premium" rather than "price"; the term "price" is ambiguous (e.g. a futures price is 100 but the value of the contract --- the premium --- is 0)
  • Fixed greeks elast calculation for barrier options --- would return Inf when close to out barrier (fixelast branch)

  • added dependency on testthat

derivmkts 0.2.2.1

Primarily a maintenance release with one new feature (tidy output)

  • Added tidy parameter to greeks function to return output in wide tidy format. This is FALSE by default, for compatability.

  • Fix: if a parameter in the function passed to greeks uses the index "i", the eval step in Greeks fails (because the eval loop also uses "i"). The index variable is now z91k25

  • Fix: spurious "break" in implied.R

derivmkts 0.2.2

  • Functions for compound options (call on call, call on put, etc.)

  • Binomplot: Option for log y axis

  • New vignette discussing alternative ways to write vectorized functions

derivmkts 0.2.1

  • Binomopt

    • Fixed: default dn=1.5 in binomopt and binomplot
    • Added "returnprice" parameter to binomplot
  • greeks

    • Simplification of Greeks discussion in README.Rmd
    • Greeks function ignores theta when appropriate (perpetual options)
  • callperpetual and putperpetual functions added to barriers.R

  • Asian options

    • Added individual geomavgpricecall, geomavgpriceput, geomavgstrikecall, and geomavgstrikeput functions.
    • Fixed greeks functionality for asian options

derivmkts 0.2.0

  • First CRAN release

  • Completed vignette

derivmkts 0.1.3.9000

  • added simple bond functions (yield, pv, duration, convexity)

  • fixed problem with vectorization in barrier options

derivmkts 0.1.2.9000

  • Added Asian pricing files

derivmkts 0.1.1.9000

  • Greeks (delta, gamma, theta, added to binomial output)

  • With returntrees=TRUE, returns replicating portfolio components ($bond and $delta)

derivmkts 0.1.0.9000

  • Added binomial pricing via binomopt and plotting of the binomial tree with binomplot

derivmkts 0.0.0.9000

First version. Includes:

  • basic Black-Scholes functions and Greeks

  • barrier pricing

  • implied volatility

  • quincunx (Galton board) function to illustrate the central limit theorem

Reference manual

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install.packages("derivmkts")

0.2.4 by Robert McDonald, 10 days ago


Browse source code at https://github.com/cran/derivmkts


Authors: Robert McDonald [aut, cre, cph]


Documentation:   PDF Manual  


Task views: Empirical Finance


MIT + file LICENSE license


Imports graphics, stats, grDevices, mnormt

Suggests highlight, markdown, knitr, rmarkdown, ggplot2, dplyr, tidyr


See at CRAN