I should add that I realize the arithmetic version is not fully written in
RQuantLib, I am mainly wondering why it crashes instead of throwing an
error or warning.
Thanks,
-Bob


On Fri, Dec 21, 2012 at 11:19 AM, Robert Harlow <rharlow86@gmail.com> wrote:

> Hi,
>  I am ran the following example with RQuantLib's AsianOption function:
>
> AsianOption("geometric", "put", underlying=80, strike=85, div=-0.03,
> riskFree=0.05, maturity=0.25, vol=0.2)
>
> and it worked fine.
>
> If I change the averageType parameter to "arithmetic", it crashes R.
>
> AsianOption("arithmetic", "put", underlying=80, strike=85, div=-0.03,
> riskFree=0.05, maturity=0.25, vol=0.2)
>
> My system information is:
>
> R version 2.15.1 (2012-06-22)
> Platform: x86_64-pc-mingw32/x64 (64-bit)
>
> locale:
> [1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
> States.1252    LC_MONETARY=English_United States.1252
> [4] LC_NUMERIC=C                           LC_TIME=English_United
> States.1252
>
> attached base packages:
> [1] stats     graphics  grDevices utils     datasets  methods   base
>
> other attached packages:
> [1] RQuantLib_0.3.8 Rcpp_0.10.0
>
> Any ideas what could be happening?
> Thanks,
> -Bob
>

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