CRAN

VarSwapPrice 1.0

Pricing a variance swap on an equity index

Released Mar 15, 2012 by Paolo Zagaglia

This package is available for Renjin and there are no known compatibility issues.

Computes a portfolio of European options that replicates the cost of capturing the realised variance of an equity index.

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>VarSwapPrice</artifactId>
    <version>1.0-b245</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

View build log

Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:VarSwapPrice')

Test Results

This package was last tested against Renjin 0.9.2644 on Jun 1, 2018.

Source

R

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Release History