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Package: FER | ||
Title: Financial Engineering in R (FER) | ||
Version: 0.91 | ||
Version: 0.93 | ||
Authors@R: person("Jaehyuk", "Choi", email = "[email protected]", role = c("aut", "cre")) | ||
Description: R implementations of standard financial engineering codes; | ||
vanilla option pricing models such as Black-Scholes, Bachelier, CEV, and | ||
SABR. | ||
URL: https://github.com/PyFE/FE-R | ||
BugReports: https://github.com/PyFE/FE-R/issues | ||
Depends: | ||
R (>= 3.3.1) | ||
R (>= 3.3.1) | ||
NeedsCompilation: no | ||
License: GPL (>= 2) | ||
Encoding: UTF-8 | ||
LazyData: true | ||
RoxygenNote: 7.1.1 | ||
Imports: | ||
stats, | ||
statmod, | ||
devtools | ||
stats, | ||
statmod | ||
Suggests: | ||
testthat (>= 3.0.0) | ||
Config/testthat/edition: 3 | ||
testthat (>= 3.0.0) |
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# FE-R | ||
Financial Engineering functions in R | ||
# FER | ||
Financial Engineering in R | ||
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## Contents | ||
* Black-Scholes option pricing model: price and implied volatility | ||
* Bachelier option pricing model: price and implied volatility | ||
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## Installation | ||
Install `devtools` package in run | ||
```R | ||
library(devtools) | ||
devtools::install_github("PyFE/FE-R", subdir="pkg") | ||
``` | ||
* Black-Scholes model: option price and implied volatility | ||
* Bachelier model: option price and implied volatility | ||
* Constant-Elasticity-of-Variance (CEV) model: option price | ||
* Stochastic-Alpha-Beta-Rho (SABR) model: equivalent BS volatility and price |