Another way to get the greeks besides Jeff's excellent package could be with AD tools in R.
I just noticed that there was a GSOC to add automatic differentiation in R and
the package radx on github looks promising.  One could to automagically compute 
greeks on the fly for free. 
 
Here is a little code snippet that computes the option price and magically gives you the delta for free!

>>>>

#require(devtools)  #make sure we have devtools installed
#install_github("radx","quantumelixir") #install radx from github

rm(list=ls())
require(radx)

FT<-1.35
X<-1.32
Time<-1/4
rate<-0.01
vol<-0.12
putcall<-"C"


#Simple blackscholesmerton pricer for options
bspricer <- function(putcall,vol,FT,X,Time,rate)
{
  
  d1 <- (log(FT/X)+(rate+0.5*(vol*vol))*Time)/(vol*sqrt(Time))
  d2 <- d1-vol*sqrt(Time)
  
  FT=radx(FT,1)  # this is where all the magic happens
  
  if(putcall=="C") {
    return((FT*pnorm(d1)-X*exp(-rate*Time)*pnorm(d2)))
  } else {
    return((X*exp(-rate*Time)*pnorm(-d2)-FT*pnorm(-d1)))
  }
}

#Calling this function below

>bspricer(putcall,vol,FT,X,Time,rate)

Value      : 0.05128281 
Coefficients:[1]  0.6722788
Derivatives :[1]  0.6722788
Order       : 1
Directions  : 1

>>>>>>>


So no more worries around the appropriate shift in finite difference methods, roundoff errors from machine 
precision issues (IEEE 754) or knowing the exact analytical formula for the greeks.



Cheers
Krishna



On Aug 25, 2013, at 11:14 AM, Jeff Ryan wrote:

> Hi John,
> 
> I have a package that isn't quite 'complete' that might be of use.
> 
> https://code.google.com/p/rgreeks/
> 
> I'm intending on pushing what is complete to CRAN this week.
> 
> I also gave a lightning talk at R/Finance this year as a quick 5 min
> overview:
> 
> http://www.rinfinance.com/agenda/2013/talk/JeffRyan.pdf
> 
> HTH
> Jeff
> 
> 
> On Fri, Aug 23, 2013 at 4:32 PM, BBands <bbands@gmail.com> wrote:
> 
>> The options solution I have used forever no longer works well, so I am
>> looking for a new option analysis solution. My needs are rather
>> simple, really all I want are nice P&L graphs for option positions
>> with a number of legs. Flexibility is key. I was thinking about
>> Hoadley, which I have used on and off, but I am no longer a fan of
>> analytics in Excel. So I thought that this might be a chance to expand
>> my R skills. I've seen a couple of ideas and there must be a ton of R
>> solutions that I am not aware of. This is one that I have found:
>> http://www.r-bloggers.com/scenario-analysis-and-trading-options-using-r/
>> Do you know of any that are particularly elegant or that you like well?
>> 
>> Thanks,
>> 
>>    John
>> --
>> John Bollinger
>> www.BollingerBands.com
>> 
>> _______________________________________________
>> R-SIG-Finance@r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
>> 
> 
> 
> 
> -- 
> Jeffrey Ryan
> jeffrey.ryan@lemnica.com
> 
> www.lemnica.com
> 
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> 
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