Have a look at Dirk's Quantlib integration package:
http://dirk.eddelbuettel.com/code/rquantlib.html


-- Rory



> Message: 2
> Date: Mon, 1 Nov 2010 01:47:36 -0700 (PDT)
> From: Megh Dal <megh700004@yahoo.com>
> To: "r-sig-finance@stat.math.ethz.ch"
>        <r-sig-finance@stat.math.ethz.ch>
> Subject: [R-SIG-Finance] Barrier options
> Message-ID: <672696.78695.qm@web58101.mail.re3.yahoo.com>
> Content-Type: text/plain; charset=us-ascii
>
> 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.
>
> Thanks
>
>
>

	[[alternative HTML version deleted]]

