[R-SIG-Finance] SABR model

[Brian G. Peterson]

An open (or closed) source C++ version could probably be wrapped with
RCpp.

On Thu, 30 Sep 2010 21:09:19 -0400, Sarbo <cmdr_rogue at hotmail.com> wrote:
> The SABR model requires a good singular perturbation analysis engine. I
> haven't seen an implementation in R either, and the VBA implementation
> is probably the one in Haug's book, which is a very simplified version
> of the model. Someday I hope to code something like a SABR model in R,
> but that's going to be a long way off, I think.
> 
> On Mon, 2010-09-27 at 06:58 -0700, abe chan wrote:
> 
>> Hello All,
>> 
>> I have been looking for some SABR model implementation package/code in
R
>> and
>> have found nothing. I wonder if anyone has come across the codes should
>> they are
>> available. I can only found the model implementation in C++ and VBA
only
>> so far.
>> Thanks.
>> 
>> Abraham
>> 
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> 
> 
> 
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-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock