RMetrics Functions for Pricing and Evaluating Basic Options

Risk Metrics

The Rmetrics Association in Zurich is a foundation working in the public interest. The initiative founded in 2007 supports Open Source Software Development, Publications of eBooks, R Programming, R Studio, and R Shiny trainings and seminars. The Rmetrics suite of packages comprises fAssets, fBasics, fBonds, timeDate (formerly: fCalendar), fCopulae, fExoticOptions, fExtremes, fGarch, fImport, fNonlinear, fOptions, fPortfolio, fRegression, timeSeries (formerly: fSeries), fTrading, and contains a very large number of relevant functions for different aspect of empirical and computational finance. Rmetrics Publishing is an electronic publishing project with a bookstore offering textbooks, handbooks, conference proceedings, software user guides and manuals related to R documentations in finance and insurance. Most of the books can be ordered and downloaded for free. The bookstore is sponsored by the Rmetrics Association and the ETH spin-off company Finance Online. Please follow link to Publishing Brochure

Founder

Prof. Dr. Diethelm Würtz Swiss Federal Institute of Technology, Zurich Institute for Theoretical Physics Econophysics Diethelm was professor at the “Swiss Federal Institute of Technology” (ETH) in Zurich. He studied Mathematics and Physics in Karlsruhe, and obtained his PhD 1978 from University of Marburg. He was PostDoc at IBM Research Lab, and became 1984 Assistant Professor at University of Heidelberg. He joined 1988 ETH in Zurich. In 1997 he founded one of the first ETH spin-off consulting companies, Finance Online GmbH Zurich. 2004 to 2008 he was ETH/McKinsey Coach for young ETH Entrepreneurs. In October 2006 and May 2011 he was Visiting Professor at University of Economics and Business in Vienna, and in November 2008 and November 2010 he was Honorary Visiting Research Fellow at University of Auckland. Diethelm Würtz was President of the Open Source “Rmetrics Association” and Senior Partner of “Finance Online GmbH” in Zurich.

Risk Metrics Functions

https://www.rmetrics.org/

https://rdrr.io/rforge/fOptions/

https://cran.r-project.org/web/packages/fOptions/index.html

https://cran.r-project.org/web/packages/fOptions/fOptions.pdf

https://r-forge.r-project.org/scm/viewvc.php?view=rev&root=rmetrics&revision=24

Provides a collection of functions to value basic options. This includes the generalized Black-Scholes option, options on futures and options on commodity futures. Many of the functions follow Espen Haug:

http://www.espenhaug.com/

Google Colaboratory

BERT Download and Installation for Windows

Download the executable installer (exe). If you can’t download .exe files, there are .zip files available on the releases page. Run the installer after downloading and it should take care of everything. By default, it will install to your home directory. Check in your Document folders for BERT2 where you load in directly R functions.

Making Use of Rmetrics in Excel using the BERT addin

BERT is an extremely efficient tool for interfacing Excel with R functions. It very simply permits running R functions from Excel spreadsheet cells. For Excel users, the Bert addin enables the writing of User-Defined Functions in R. Here we used R functions from RMetrics - a very trusted source for Finance algorithms. Everything else – loading the function into Excel, managing parameters, and handling type conversion – is done automatically for you. BERT also has a console that you can use to control Excel in real time, right from your R code. BERT streamlines using R in Excel, so you can write complex functions and then plug them directly into Excel. Plus you have access to the entire library of R code and packages already written, tested, and validated by established academics and practitioners in the R community.

Google Colaboratory

https://www.youtube.com/watch?v=jyGwOrKTPRY