The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.

CustomDerivative 0.2.0

Major redesign

• Replaced the original R6 prototype with an idiomatic functional pricing API.
• Added analytical Black-Scholes-Merton prices for European calls and puts.
• Added European Monte Carlo pricing with antithetic and control variates.
• Added Monte Carlo standard errors, confidence intervals, and diagnostics.
• Added risk-neutral geometric Brownian motion path simulation.
• Added path-dependent pricing with Asian and down-and-out call payoff helpers.
• Added generic finite-difference delta, gamma, vega, rho, and theta.
• Added strict input and payoff validation.
• Added deterministic seeded simulations that preserve caller RNG state.
• Added numerical benchmark, parity, reproducibility, and exotic-option tests.
• Added cross-platform GitHub Actions checks for R release and R devel.
• Corrected package installation and usage documentation.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.