Well, the Rmetrics suite contains pretty much everything you need to
value basic options, but you'll still need to do some noodling around in
R to run scenario analyses. The most common types of analyses for
options are Delta/Gamma/Vega shocks, all of which can be done pretty
easily in R using the "apply" function on a matrix of inputs (like, say,
a large matrix of stock prices and volatilities). You can then graph the
result in R and see the sensitivities pretty easily that way.

On Fri, 2010-07-16 at 23:58 +0100, Raghu wrote:

> Hi
> 
> Is there any package/library for computing what-ifs on options portfolios
> pls?
> 
> Thanks
> 



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