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

[Sylvain BARTHELEMY]

Hi Robert,

I think that the fOptions pack does that: GBSGreeks & GBSVolatility


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Sylvain Barthélémy
Research Director, TAC
www.tac-financial.com | www.sylbarth.com

-----Message d'origine-----
De : r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] De la part de Robert Sams
Envoyé : jeudi 14 juin 2007 17:54
À : r-sig-finance at stat.math.ethz.ch
Objet : [R-SIG-Finance] option model for interest rate future

Hi,

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)?

Thanks,
Robert

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