Package: CustomDerivative 0.2.0

CustomDerivative: Extensible Derivative Pricing and Risk Analytics

Tools for pricing and analysing financial derivatives under the classical lognormal diffusion model and geometric Brownian motion assumptions. The package provides analytical European option prices, Monte Carlo pricing with antithetic and control variates, confidence intervals, finite-difference Greeks, and path simulation for path-dependent payoffs. The simulation interfaces accept user-defined payoff functions, enabling transparent construction of custom contracts while reporting numerical uncertainty.

Authors:Amit Kumar Jha [aut, cre, cph]

CustomDerivative_0.2.0.tar.gz
CustomDerivative_0.2.0.zip(r-4.7-any)CustomDerivative_0.2.0.zip(r-4.6-any)CustomDerivative_0.2.0.zip(r-4.5-any)
CustomDerivative_0.2.0.tgz(r-4.6-any)CustomDerivative_0.2.0.tgz(r-4.5-any)
CustomDerivative_0.2.0.tar.gz(r-4.7-any)CustomDerivative_0.2.0.tar.gz(r-4.6-any)
CustomDerivative_0.2.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
CustomDerivative/json (API)

# Install 'CustomDerivative' in R:
install.packages('CustomDerivative', repos = c('https://aim-it4.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/aim-it4/customderivative/issues

On CRAN:

Conda:

3.00 score 2 stars 2 scripts 300 downloads 11 exports 1 dependencies

Last updated from:06960ad13f. Checks:7 WARNING, 2 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develWARNING148
source / vignettesOK165
linux-releaseWARNING127
macos-releaseWARNING135
macos-oldrelWARNING188
windows-develWARNING52
windows-releaseWARNING212
windows-oldrelWARNING56
wasm-releaseOK92

Exports:asian_call_payoffblack_scholes_pricecall_payoffCustomDerivativedigital_call_payoffdown_and_out_call_payofffinite_difference_greeksprice_european_mcprice_path_dependent_mcput_payoffsimulate_gbm_paths

Dependencies:R6