[R-SIG-Finance] option model for interest rate future

[Brian G. Peterson]

Robert Sams wrote:
> Does anyone have R code to calculate implied vol and greeks of an option
> on an interest rate future (e.g., CME's eurodollar contract)?

There are a lot of Greeks in fOptions, part of RMetrics.

Could you be a little more specific on what approach you want to use to 
get to implied volatility?  There are several, and I know I've seen code 
pointers posted to this list on implied volatilities in the past, so you 
might want to search the list archives.  I'd be interested in a summary 
to the list of what your searching turns up, so that we could have a 
directed conversation about it.

Regards,

  - Brian

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PerformanceAnalytics
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