[R-SIG-Finance] Financial Basket Options

MAB MichelBeck at sbcglobal.Net
Thu Jan 24 15:53:40 CET 2008


Dirk Eddelbuettel <edd <at> debian.org> writes:

> 
> 
> Sorry, I meant to chime in earlier on this. Did any of you look at QuantLib?
> AFAICT it has a basketoption class allowing for multiple assets, Monte Carlo
> pricers for american and european exercise as well as Stulz (1992) method.  
> 
> I often look at the available code via what's in the regression tests, so


Hi Dirk!

My appologies if this is a question with an obvious answer:

I'm used to getting R code libraries by looking 
on http://www.cran.r-project.org/
link Packages

Where do I find QuantLib?

Michel



More information about the R-SIG-Finance mailing list