Package fOptions_2110.77.tar.gz did not pass R CMD check
Uwe.Ligges at R-Project.org
Uwe.Ligges at R-Project.org
Sat Apr 24 16:17:13 CEST 2010
Dear package maintainer,
this notification has been generated automatically.
Your package fOptions_2110.77.tar.gz did *not* pass 'R CMD check' on
Windows and will be omitted from the corresponding CRAN directory
(CRAN/bin/windows64/contrib/2.11/).
Please check the attached log-file and consider to resubmit a version
with increased version number that passes R CMD check on Windows.
R version 2.11.0 (2010-04-22)
All the best,
Uwe Ligges
(Maintainer of binary packages for Windows)
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* using log directory 'd:/Rcompile/CRANpkg/local64/2.11/fOptions.Rcheck'
* using R version 2.11.0 (2010-04-22)
* using session charset: ISO8859-1
* checking for file 'fOptions/DESCRIPTION' ... OK
* this is package 'fOptions' version '2110.77'
* checking package dependencies ... OK
* checking if this is a source package ... OK
* checking whether package 'fOptions' can be installed ... OK
* checking package directory ... OK
* checking for portable file names ... OK
* checking DESCRIPTION meta-information ... OK
* checking top-level files ... OK
* checking index information ... OK
* checking package subdirectories ... OK
* checking R files for non-ASCII characters ... OK
* checking R files for syntax errors ... OK
* checking whether the package can be loaded ... OK
* checking whether the package can be loaded with stated dependencies ... OK
* checking whether the package can be unloaded cleanly ... OK
* checking for unstated dependencies in R code ... OK
* checking S3 generic/method consistency ... OK
* checking replacement functions ... OK
* checking foreign function calls ... OK
* checking R code for possible problems ... OK
* checking Rd files ... OK
* checking Rd metadata ... OK
* checking Rd cross-references ... OK
* checking for missing documentation entries ... OK
* checking for code/documentation mismatches ... OK
* checking Rd \usage sections ... OK
* checking Rd contents ... OK
* checking line endings in C/C++/Fortran sources/headers ... OK
* checking line endings in Makefiles ... OK
* checking for portable compilation flags in Makevars ... OK
* checking for portable use of $BLAS_LIBS ... OK
* checking examples ... ERROR
Running examples in 'fOptions-Ex.R' failed.
The error most likely occurred in:
> ### * MonteCarloOptions
>
> flush(stderr()); flush(stdout())
>
> ### Name: MonteCarloOptions
> ### Title: Monte Carlo Valuation of Options
> ### Aliases: MonteCarloOptions wienerMCPath plainVanillaMCPayoff
> ### arithmeticAsianMCPayoff MonteCarloOption
> ### Keywords: programming
>
> ### ** Examples
>
> ## How to perform a Monte Carlo Simulation?
>
> ## First Step:
> # Write a function to generate the option's innovations.
> # Use scrambled normal Sobol numbers:
> sobolInnovations = function(mcSteps, pathLength, init, ...) {
+ # Create Normal Sobol Innovations:
+ innovations = rnorm.sobol(mcSteps, pathLength, init, ...)
+ # Return Value:
+ innovations }
>
> ## Second Step:
> # Write a function to generate the option's price paths.
> # Use a Wiener path:
> wienerPath = function(eps) {
+ # Note, the option parameters must be globally defined!
+ # Generate the Paths:
+ path = (b-sigma*sigma/2)*delta.t + sigma*sqrt(delta.t)*eps
+ # Return Value:
+ path }
>
> ## Third Step:
> # Write a function for the option's payoff
>
> # Example 1: use the payoff for a plain Vanilla Call or Put:
> plainVanillaPayoff = function(path) {
+ # Note, the option parameters must be globally defined!
+ # Compute the Call/Put Payoff Value:
+ ST = S*exp(sum(path))
+ if (TypeFlag == "c") payoff = exp(-r*Time)*max(ST-X, 0)
+ if (TypeFlag == "p") payoff = exp(-r*Time)*max(0, X-ST)
+ # Return Value:
+ payoff }
>
> # Example 2: use the payoff for an arithmetic Asian Call or Put:
> arithmeticAsianPayoff = function(path) {
+ # Note, the option parameters must be globally defined!
+ # Compute the Call/Put Payoff Value:
+ SM = mean(S*exp(cumsum(path)))
+ if (TypeFlag == "c") payoff = exp(-r*Time)*max(SM-X, 0)
+ if (TypeFlag == "p") payoff = exp(-r*Time)*max(0, X-SM)
+ # Return Value:
+ payoff }
>
> ## Final Step:
> # Set Global Parameters for the plain Vanilla / arithmetic Asian Options:
> TypeFlag <<- "c"; S <<- 100; X <<- 100
> Time <<- 1/12; sigma <<- 0.4; r <<- 0.10; b <<- 0.1
>
> # Do the Asian Simulation with scrambled random numbers:
> mc = MonteCarloOption(delta.t = 1/360, pathLength = 30, mcSteps = 5000,
+ mcLoops = 50, init = TRUE, innovations.gen = sobolInnovations,
+ path.gen = wienerPath, payoff.calc = arithmeticAsianPayoff,
+ antithetic = TRUE, standardization = FALSE, trace = TRUE,
+ scrambling = 2, seed = 4711)
Monte Carlo Simulation Path:
Loop: No
Loop: 1 : NA NA
Loop: 2 : NA NA
Loop: 3 : NA NA
Loop: 4 : Inf NA
Loop: 5 : NA NA
Loop: 6 : NA NA
Loop: 7 : NA NA
Loop: 8 : NA NA
Loop: 9 : NA NA
Loop: 10 : NA NA
Loop: 11 : NA NA
Loop: 12 : NA NA
Loop: 13 : NA NA
Loop: 14 : NA NA
Loop: 15 : NA NA
Loop: 16 : NA NA
Loop: 17 : NA NA
Loop: 18 : NA NA
Loop: 19 : NA NA
Loop: 20 : NA NA
Loop: 21 : NA NA
Loop: 22 : NA NA
Loop: 23 : NA NA
Loop: 24 : NA NA
Loop: 25 : NA NA
Loop: 26 : NA NA
Loop: 27 : NA NA
Loop: 28 : NA NA
Loop: 29 : NA NA
Loop: 30 : NA NA
Loop: 31 : NA NA
Loop: 32 : NA NA
Loop: 33 : NA NA
Loop: 34 : NA NA
Loop: 35 : NA NA
Loop: 36 : NA NA
Loop: 37 : NA NA
Loop: 38 : NA NA
Loop: 39 : NA NA
Loop: 40 : NA NA
Loop: 41 : NA NA
Loop: 42 : NA NA
Loop: 43 : NA NA
Loop: 44 : NA NA
Loop: 45 : NA NA
Loop: 46 : NA NA
Loop: 47 : NA NA
Loop: 48 : NA NA
Loop: 49 : NA NA
Loop: 50 : NA NA
>
> # Plot the MC Iteration Path:
> par(mfrow = c(1, 1))
> mcPrice = cumsum(mc)/(1:length(mc))
> plot(mcPrice, type = "l", main = "Arithmetic Asian Option",
+ xlab = "Monte Carlo Loops", ylab = "Option Price")
Warning in min(x) : no non-missing arguments to min; returning Inf
Warning in max(x) : no non-missing arguments to max; returning -Inf
Error in plot.window(...) : need finite 'ylim' values
Calls: plot -> plot -> plot.default -> localWindow -> plot.window
Execution halted
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