Hi,

Here is Wang Yu and I would like to report two bugs in the RMetrics package:


1.       SpreadApproxOption appears to be double discounting the value

Current Implementation:  SpreadApproximation <- (GBSOption(TypeFlag, FF, 1, Time, r, 0, sigma)@price * (F2 + X) * exp(-r * Time))
         Should be: SpreadApproximation <- (GBSOption(TypeFlag, FF, 1, Time, r=0, 0, sigma)@price * (F2 + X) * exp(-r * Time))



2.       holidayNERC appears to be not using FinCenter in its calculation

Current Implementation: ans = timeDate(holidays)
        Should Be: ans = timeDate(holidays, FinCenter=FinCenter)


Thanks, Wang

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