[R-SIG-Finance] Financial Basket Options

[Dirk Eddelbuettel]

On 24 January 2008 at 14:53, MAB wrote:
| 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:

It kinda is once you get used to asking Google too ;-)
 
| I'm used to getting R code libraries by looking 
| on http://www.cran.r-project.org/
| link Packages

[ As an aside, given the frentic growth of CRAN, you may enjoy looking at
  http://planetr.stderr.org which covers the CRANberries RSS stream of CRAN
  updates I set up a few month ago. Point your RSS reader to that, you get
  informed whenever CRAN has new packages, and/or see the diffstat summary of
  changes to existing packages. ]
 
| Where do I find QuantLib?

At http://www.quantlib.org -- which is a redirect for sourceforge.

There is quite a community of users and developers but the intersection with
R is fairly small -- so welcome :)

Dirk

-- 
Three out of two people have difficulties with fractions.