[R-SIG-Finance] Barrier options

[Brian G. Peterson]

On 11/01/2010 03:47 AM, Megh Dal wrote:
> Dear friends, is there any implementation in R to price the Barrier options like (up&in, up&out, down&in , down&out). If it is not implemented yet then perhaps I need to write on my own.

RQuantLib exposes function BarrierOption from the QuantLib library.

for future reference,

RSiteSearch("barrier option")

from inside R would have told you that.

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock