Tolga,

You might be interested in the quantlib library: http://quantlib.org/.
Currently, a wrapper for R can be found at
http://dirk.eddelbuettel.com/code/rquantlib.html.

Regards,
Jeff Hammerbacher

On 6/15/06, Tolga Uzuner <tolga@coubros.com> wrote:
>
> Hi,
>
> Does anyone know a package which prices simple one-touch options, say
> using Rmetrics ? I want something which simply has a discontinuous
> payoff if an asset touches a single level. No knock-in or knock-out
> features.
>
> Thanks,
> Tolga
>
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