Coding Finance R

Black-Scholes in R

Here is a simple implementation of the Black-Scholes pricing formula in R. This will return a two-element vector containing the calculated call and put price, respectively.

[source lang=”r”]
# Black-Scholes Option Value
# Call value is returned in values[1], put in values[2]
blackscholes <- function(S, X, rf, T, sigma) {
values <- c(2)

d1 <- (log(S/X)+(rf+sigma^2/2)*T)/(sigma*sqrt(T))
d2 <- d1 – sigma * sqrt(T)

values[1] <- S*pnorm(d1) – X*exp(-rf*T)*pnorm(d2)
values[2] <- X*exp(-rf*T) * pnorm(-d2) – S*pnorm(-d1)


Example use:

> blackscholes(100,110,.05,1,.2)
[1] 6.040088 10.675325


Useful Regular Expressions, Part 2

Some useful regexes here that I have used recently here, saved in case I ever lose them (especially the last two). Firstly, an expression that parses NTLM credentials from HTTP BASIC authentication responses. Note the non-capturing groups ?: to keep indexing simple.

/* DOMAIN\\user(:pass)? or DOMAIN/user(:pass)? */
private static final Pattern CREDENTIALS_PATT = Pattern.compile("(?:(\\w+)(?:\\\\{1,2}|/))?(\\w+)(?::(\\w+))?");

Next, a regular expression to parse verbose garbage collection logs from JRockit GC log files:

s/^\[memory \]\[\([^]]\+\)\].*GC
\([0-9]\+\)K->\([0-9]\+\)K (\([0-9]\+\)K), \([0-9]\+\.[0-9]\+\) ms/\1,\2,\3,\4,\5/

This will return various columns including memory before and after collection, max heap size, and collection duration.

Similarly, for Sun JVMs:

s/.*GC \([0-9]\+\)K->\([0-9]\+\)K(\([0-9]\+\)K), \([0-9]\+\.[0-9]\+\) secs]/\1,\2,\3,\4/

Verbose GC logging is usually enabled via the -XXloggc option, e.g. -Xloggc:gc.log


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