Welcome to the Fitob R Package
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)