R Development Page
Contributed R Packages
Below is a list of all packages provided by project fitob.
Important note for package binaries: R-Forge provides these binaries only for the most recent version of R, but not for older versions. In order to successfully install the packages provided on R-Forge, you have to switch to the most recent version of R or, alternatively, install from the package sources (.tar.gz).
Packages
| fitob | General solvers for the general Black-Scholes (Fokker Planck) partial differential equation (PDE) in a multi-dimensional setting with main application in finance (option pricing). | |||||||||
| The main focus in this package is the solving of the Black-Scholes (Fokker Planck) PDE for financial contract pricing. It offers a general script languages that describes any financial contract in an efficient and unique way. These financial pricing problems can be in multi-dimensions, for which we employ sparse grids with the combination technique. These initial value parabolic problems require an efficient linear solver, for which we developed a geometrical multigrid solver. We tested this fitob package up to 12 dimensions, where reasonable results were achieved only up to 5-8 dimensions (accuracy is problem dependent). Solving such convection-diffusion PDE in multi-dimensional setting could be beneficiary in other applications (other than finance) as well. | ||||||||||
| Version: 1.0 | Last change: 2012-11-28 22:05:14+01 | Rev.: 11 | ||||||||||
Download:
 (.tar.gz) |
 (.zip) |
Build status: Current | ||||||||||
R install command:
install.packages("fitob", repos="http://R-Forge.R-project.org") | ||||||||||
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Build status codes
0 - Current: the package is available for download. The corresponding package passed checks on the Linux and Windows platform without ERRORs.
1 - Scheduled for build: the package has been recognized by the build system and provided in the staging area.
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