Hi,

There are lots of packages within R that support all of these
distributions. The Rmetrics suite is very good; RQuantLib has option
valuation functions that are very useful; and the quantmod suite is also
exceptionally good.

Why, though, are you using Vasicek or CIR models to model currency
pairs? These models are not arbitrage-free and do not correspond well to
market-observable term structures. Nor do they incorporate anything
other than static assumptions about volatility. There are better models
out there for dealing with currencies.

On Thu, 2011-04-07 at 18:32 +0200, babel@centrum.sk wrote:

> Hello researchers
> 
> Do you have some experience with risk measurement by Vasicek, CIR models or geometric Brownian distribution? Are there any R packages supporting these models?  
> I found these 2 links, that are quite helpful 
> http://www.r-bloggers.com/basket-option-pricing-step-by-step/   
> http://www.r-bloggers.com/fun-with-the-vasicek-interest-rate-model/
> 
> and I also searched ??? in R, but found only simulations.
> 
> I would like to model few currency pairs by mentioned models and consequently their future influence on costs, revenues and sales. Or can you point off some better techniques,solutions or references for modeling corporate risk  in R?
> Thank you very much.
> 
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