A versatile R package for creating and pricing custom derivatives.
You can install the CustomDerivative package from GitHub using the following command:
devtools::install_github("YourGitHubUsername/CustomDerivative")Load the package and create a new derivative:
library(CustomDerivative)
derivative <- CustomDerivative$new(100, 100, 1, 0.2, 0.05, function(x) max(x - 100, 0))
price <- derivative$price()This project is licensed under the MIT License.
- Amit Kumar Jha - Initial work - AIM-IT4