The main focus of the Fitob R Package is the PDE-based financial derivative pricing. Fitob is able to solve not just the Black-Scholes PDE in a multi-dimensional setting, but also the more general Fokker-Planck (convection-diffusion) PDE. Fitob provides a general scripting interface that can describe almost any financial contract in an efficient and unique way. This feature is demonstrated by several examples.

Important links:

• Manual and Tutorial of the Fitob R Package here
• Download Fitob R Package here
• The project summary page you can find here

The following examples illustrate the PDE-based pricing approach of financial contracts (you can find more examples with detailed explanations in the examples section of the manual ):

Pricing a 1D American Option. The plot shows the resulting price curve.

You can download the necessary files under: american1D.xml , american1DScript .
In order to run the example, install Fitob and type in R (assuming that american1D.xml and american1DScript are in the current directory):
> require(fitob);
> liMy = fitobPriceMesh("american1D.xml" , "american1DScript",5);
> fitobMeshPlot(liMy);
> liMy[[1]] #the scalar price


Pricing a 1D Option under the Heston process. The plot shows the resulting price surface in 2D.

You can download the necessary files under: Heston2D.xml , Heston2D_Script .
In order to run the example, install Fitob and type in R (assuming that Heston2D.xml and Heston2D_Script are in the current directory):
> require(fitob);
> liMy = fitobPriceMesh("Heston2D.xml" , "Heston2D_Script",5);
> fitobMeshPlot(liMy);
> liMy[[1]] #the scalar price


Early withdrawal boundary for a Guaranteed Minimum Withdrawal Benefit (GMWB) modelled in 5D. A is the account of the benefit, S is the underlying's price. (see J.Benk, D. Plueger: Hybrid Parallel Solutions of the Black-Scholes PDE with the Truncated Combination Technique. In Proceedings of the HPCS conference, 2012 Madrid.)



If you want to price your own financial contract, it is recommended to take one example ( from here ) and modify it incrementally. If you face any problems please do not hesitate to write to (benkjanos at gmail dot com)