Package: amsSim 0.1.0

amsSim: Adaptive Multilevel Splitting for Option Simulation and Pricing

Simulation and pricing routines for rare-event options using Adaptive Multilevel Splitting and standard Monte Carlo under Black-Scholes and Heston models. Core routines are implemented in C++ via Rcpp and RcppArmadillo with lightweight R wrappers.

Authors:Riccardo Gozzo [aut, cre]

amsSim_0.1.0.tar.gz
amsSim_0.1.0.zip(r-4.7)amsSim_0.1.0.zip(r-4.6)amsSim_0.1.0.zip(r-4.5)
amsSim_0.1.0.tgz(r-4.6-x86_64)amsSim_0.1.0.tgz(r-4.6-arm64)amsSim_0.1.0.tgz(r-4.5-x86_64)amsSim_0.1.0.tgz(r-4.5-arm64)
amsSim_0.1.0.tar.gz(r-4.7-arm64)amsSim_0.1.0.tar.gz(r-4.7-x86_64)amsSim_0.1.0.tar.gz(r-4.6-arm64)amsSim_0.1.0.tar.gz(r-4.6-x86_64)
amsSim_0.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
amsSim/json (API)
NEWS

# Install 'amsSim' in R:
install.packages('amsSim', repos = c('https://riccardogozzo.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/riccardogozzo/amssim/issues

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

Conda:

cpp

3.00 score 1 stars 162 downloads 2 exports 2 dependencies

Last updated from:11950c2a90. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK128
linux-devel-x86_64OK148
source / vignettesOK156
linux-release-arm64OK114
linux-release-x86_64OK149
macos-release-arm64OK214
macos-release-x86_64OK314
macos-oldrel-arm64OK151
macos-oldrel-x86_64OK431
windows-develOK110
windows-releaseOK106
windows-oldrelOK117
wasm-releaseOK99

Exports:AMSsimulate_AMS

Dependencies:RcppRcppArmadillo