Package: QFRM 1.0.1

QFRM: Pricing of Vanilla and Exotic Option Contracts

Option pricing (financial derivatives) techniques mainly following textbook 'Options, Futures and Other Derivatives', 9ed by John C.Hull, 2014. Prentice Hall. Implementations are via binomial tree option model (BOPM), Black-Scholes model, Monte Carlo simulations, etc. This package is a result of Quantitative Financial Risk Management course (STAT 449 and STAT 649) at Rice University, Houston, TX, USA, taught by Oleg Melnikov, statistics PhD student, as of Spring 2015.

Authors:Oleg Melnikov [aut, cre], Max Lee [ctb], Robert Abramov [ctb], Richard Huang [ctb], Liu Tong [ctb], Jake Kornblau [ctb], Xinnan Lu [ctb], Kiryl Novikau [ctb], Tongyue Luo [ctb], Le You [ctb], Jin Chen [ctb], Chengwei Ge [ctb], Jiayao Huang [ctb], Kim Raath [ctb]

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QFRM.pdf |QFRM.html✨
QFRM/json (API)

# Install 'QFRM' in R:
install.packages('QFRM', repos = c('https://omelnikov.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.67 score 2 stars 47 scripts 156 downloads 48 exports 0 dependencies

Last updated 9 years agofrom:b3bfa3cb50. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKNov 13 2024
R-4.5-winOKNov 13 2024
R-4.5-linuxOKNov 13 2024
R-4.4-winOKNov 13 2024
R-4.4-macOKNov 13 2024
R-4.3-winOKNov 13 2024
R-4.3-macOKNov 13 2024

Exports:as.OptPosAsianBSAsianMCAverageStrikeMCBarrierBSBarrierLTBarrierMCBinary_BOPMBinaryBSBinaryMCBOPMBOPM_EuBSBS_SimpleChooserBSChooserLTChooserMCCompoundBSCompoundLTDeferredPaymentLTForeignEquityBSForwardStartBSForwardStartMCGapBSGapLTGapMCHolderExtendibleBSis.Optis.OptPosis.OptPxLadderMCLookbackBSLookbackMCOptOptPosOptPxpbnormPerpetualBSProfitQuotientBSQuotientMCRainbowBSShoutFDShoutLTShoutLTVectorizedShoutMCVarianceSwapBSVarianceSwapMC

Dependencies:

Readme and manuals

Help Manual

Help pageTopics
Coerce an argument to 'OptPos' class.as.OptPos
Asian option valuation via Black-Scholes (BS) modelAsianBS
Asian option valuation with Monte Carlo (MC) simulation.AsianMC
Average Strike option valuation via Monte Carlo (MC) simulationAverageStrikeMC
Barrier option pricing via Black-Scholes (BS) modelBarrierBS
Barrrier option valuation via lattice tree (LT)BarrierLT
Barrier option valuation via Monte Carlo (MC) simulation.BarrierMC
Binary option valuation vialattice tree (LT) implementationBinary_BOPM
Binary option valuation with Black-Scholes (BS) modelBinaryBS
Binary option valuation via Monte-Carlo (via) simulation.BinaryMC
Binomial option pricing modelBOPM
European option valuation (vectorized computation).BOPM_Eu
Black-Scholes (BS) pricing modelBS
Black-Scholes formulaBS_Simple
Chooser option valuation via Black-Scholes (BS) modelChooserBS
Chooser option valuation via Lattice Tree (LT) ModelChooserLT
Chooser option valuation via Monte Carlo (MC) simulationsChooserMC
Compound option valuation with Black-Scholes (BS) modelCompoundBS
Compound option valuation via lattice tree (LT) modelCompoundLT
DeferredPaymentLTDeferredPaymentLT
ForeignEquity option valuation via Black-Scholes (BS) modelForeignEquityBS
ForwardStart option valuation via Black-Scholes (BS) modelForwardStartBS
Forward Start option valuation via Monte-Carlo (MC) simulationForwardStartMC
Gap option valuation via Black-Scholes (BS) modelGapBS
Gap option valuation via lattice tree (LT) modelGapLT
Gap option valuation via Monte Carlo (MC) simulationGapMC
Holder Extendible option valuation via Black-Scholes (BS) modelHolderExtendibleBS
Is an object 'Opt'?is.Opt
Is an object 'OptPos'?is.OptPos
Is an object 'OptPx'?is.OptPx
Ladder option valuation via Monte Carlo (MC) simulation.LadderMC
Lookback option valuation with Black-Scholes (BS) modelLookbackBS
Lookback option valuation via Monte Carlo (MC) simulationLookbackMC
'Opt' object constructorOpt
'OptPos' object constructorOptPos
'OptPx' object constructorOptPx
Bivariate Standard Normal CDFpbnorm
Perpetual option valuation via Black-Scholes (BS) modelPerpetualBS
Computes payout/profit valuesProfit
Quotient option valuation via Black-Scholes (BS) modelQuotientBS
Quotient option valuation via Monte Carlo (MC) modelQuotientMC
Rainbow option valuation via Black-Scholes (BS) modelRainbowBS
Shout option valuation via finite differences (FD) methodShoutFD
Shout option valuation via lattice tree (LT)ShoutLT
Shout option valuation via lattice tree (LT)ShoutLTVectorized
Shout option valuation via Monte Carlo (MC) simulations.ShoutMC
Variance Swap valuation via Black-Scholes (BS) modelVarianceSwapBS
VarianceSwap option valuation via Monte Carlo (MC) simulation.VarianceSwapMC