Financial Basket Options
Hi Dirk, I considered using QuantLib, but as you mention it's R wrapper does not include Basket option. So the choices I had were either to invoke it using C++ or to code my own implementation in R. Since QuantLib contains many classes and I have never used it before I decided that coding in R will take me less time and will allow me to add more stuff in the future (for example getting the upper bound). My new job is not exactly in Finance (even though it is also business-oriented) and so I have less strive to complete this task now, but on the other hand this is an interesting problem (mathematically) and so I may continue. To be honest, I am not sure about it's importance in finance, since the theoretical price is not always the correct one... Regards, Moshe.
--- Dirk Eddelbuettel <edd at debian.org> wrote:
Sorry, I meant to chime in earlier on this. Did any
of you look at QuantLib?
AFAICT it has a basketoption class allowing for
multiple assets, Monte Carlo
pricers for american and european exercise as well
as Stulz (1992) method.
I often look at the available code via what's in the
regression tests, so
here is the header test-suite/basketoption.hpp:
class BasketOptionTest {
public:
static void testEuroTwoValues();
static void testBarraquandThreeValues();
static void testTavellaValues();
static void testOneDAmericanValues();
static void testOddSamples();
static boost::unit_test_framework::test_suite*
suite();
};
My RQuantLib package currently does not wrap basket
options, but has a few
other exotics one could take as a stanza. Building
the package is possible
on both Windows and Linux, but somewhat more tedious
on the former (as you
need to build QL and Boost first). My main
contributor Dominick has a
tarball with that prebuilt if it is of interest. If
there is interest, we
could add this to RQuantLib.
Hth, Dirk
--
Three out of two people have difficulties with
fractions.