[R] as.function parameters

[R. Michael Weylandt]

Jumping in from a finance perspective...

You really don't want to actually use nested lists for this -- the
overhead and index-book-keeping will quickly become quite annoying.

Instead use a 2D array (I assume you're using the CRR Binomial Tree
model for an American Option) where the column number less one is how
many steps into the tree you are and the row is how many ups/downs
you've had (your call which one) -- then just roll your option valuing
formula with loops over the array.

This is implemented in the fOptions package in the CRRBinomialTree
function, but if you can't use real R that might/might not help you.
It is open source however...

Michael

On Tue, May 22, 2012 at 6:22 AM, jackl <jackspam at hotmail.de> wrote:
> Hi there,
>
> ~ the 'problem' or rather the task I'm trying to solve is to implement
> an algorithm to compute the ask/bid price of american options in a
> close to R related program language.
>
> because i'm not really using R but just it's basic functionalities I cannot
> rely on different packages included in the R space.
>
> is it usual for R to compute nested functions with such a workload?
>
> Best thanks
>
> --
> View this message in context: http://r.789695.n4.nabble.com/as-function-parameters-tp4620390p4630858.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.