<div dir="ltr"><div class="gmail_default" style="font-family:tahoma,sans-serif;font-size:small"><div class="gmail_default"><span class="im"><div class="gmail_default">Have encountered constant 'crash' of R when calling the AsianOption function with type “arithmetic”.</div><div class="gmail_default"><br></div><div class="gmail_default">Posted on StackOverflow yesterday and Dirk asked my to post here instead.</div><div class="gmail_default"><br></div><blockquote style="font-family:arial,sans-serif;font-size:13px;margin:0px 0px 0px 40px;border:none;padding:0px"><div class="gmail_default" style="font-family:tahoma,sans-serif;font-size:small"><p>Hi I'm trying to use RQuantLib to evaluate arithmetic Asian options on a windows 64 bit platform.</p></div><div class="gmail_default" style="font-family:tahoma,sans-serif;font-size:small"><p>Using the geometric pricer the codes executes correct, but using arithmetic crashes R. Have tried in Rstudie and through R-term with both x86 and x64 executable.</p></div><div class="gmail_default"><pre style="white-space:pre-wrap;font-family:tahoma,sans-serif;font-size:small"><code>library('RQuantLib')</code></pre><pre style="white-space:pre-wrap"><code>R version 3.1.1 <a href="tel:%282014-07-10" value="+4520140710" target="_blank">(2014-07-10</a>)
Platform: x86_64-w64-mingw32/x64 (64-bit)
locale:
[1] LC_COLLATE=Danish_Denmark.1252 LC_CTYPE=Danish_Denmark.1252
[3] LC_MONETARY=Danish_Denmark.1252 LC_NUMERIC=C
[5] LC_TIME=Danish_Denmark.1252
attached base packages:
[1] stats graphics grDevices utils datasets methods base
other attached packages:
[1] RQuantLib_0.3.12 fOptions_3010.83 fBasics_3010.86 MASS_7.3-35 timeSeries_3010.97
[6] timeDate_3011.99
loaded via a namespace (and not attached):
[1] packrat_0.4.1.1 Rcpp_0.11.3 stabledist_0.6-6 tools_3.1.1 </code></pre></div><div class="gmail_default" style="font-family:tahoma,sans-serif;font-size:small"><pre style="white-space:pre-wrap"><code>GeomOption <- AsianOption("geometric", "put", underlying=80, strike=85, div=0, riskFree=0.005,maturity=1.25, vol=0.2)</code></pre></div><div class="gmail_default" style="font-family:tahoma,sans-serif;font-size:small"><pre style="white-space:pre-wrap"><code>ArithOption <- AsianOption("arithmetic", "put", underlying=80, strike=85, div=0, riskFree=0.005, maturity=1.25, vol=0.2)</code></pre></div><div class="gmail_default" style="font-family:tahoma,sans-serif;font-size:small"><p>I have tried building QuantLib through VS2010 but this makes no difference as expected, since RQuantLib on Windows do not require this.</p></div></blockquote></span><font face="tahoma, sans-serif" style="font-size:13px"><div class="gmail_default" style="font-size:small;display:inline">Have later tried the same call on a virtual linux mint version.</div></font></div><div class="gmail_default">And in contrast to Dirk's expectation, R also crashed on this computer when using 'arithmetric' type.</div><div class="" style="font-family:arial,sans-serif;font-size:13px"><div id=":1qv" class="" tabindex="0"><img class="" src="https://ssl.gstatic.com/ui/v1/icons/mail/images/cleardot.gif"></div></div><div class="gmail_default"><span class="im"><br><blockquote style="font-family:arial,sans-serif;font-size:13px;margin:0px 0px 0px 40px;border:none;padding:0px"><div><font face="tahoma, sans-serif">R version 2.15.1 <a href="tel:%282012-06-22" value="+4520120622" target="_blank">(2012-06-22</a>)</font></div><div><font face="tahoma, sans-serif">Platform: i686-pc-linux-gnu (32-bit)</font></div><div><font face="tahoma, sans-serif"><br></font></div><div><font face="tahoma, sans-serif">locale:</font></div><div><font face="tahoma, sans-serif"> [1] LC_CTYPE=da_DK.UTF-8 LC_NUMERIC=C </font></div><div><font face="tahoma, sans-serif"> [3] LC_TIME=en_US.UTF-8 LC_COLLATE=da_DK.UTF-8 </font></div><div><font face="tahoma, sans-serif"> [5] LC_MONETARY=en_US.UTF-8 LC_MESSAGES=da_DK.UTF-8 </font></div><div><font face="tahoma, sans-serif"> [7] LC_PAPER=C LC_NAME=C </font></div><div><font face="tahoma, sans-serif"> [9] LC_ADDRESS=C LC_TELEPHONE=C </font></div><div><font face="tahoma, sans-serif">[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C </font></div><div><font face="tahoma, sans-serif"><br></font></div><div><font face="tahoma, sans-serif">attached base packages:</font></div><div><font face="tahoma, sans-serif">[1] stats graphics grDevices utils datasets methods base </font></div><div><font face="tahoma, sans-serif"><br></font></div><div><font face="tahoma, sans-serif">loaded via a namespace (and not attached):</font></div><div><font face="tahoma, sans-serif">[1] tools_2.15.1</font></div><div><span style="font-size:small;font-family:tahoma,sans-serif"></span><br></div></blockquote><div style="font-family:arial,sans-serif;font-size:13px"><span style="font-family:tahoma,sans-serif"><div class="gmail_default" style="font-size:small;display:inline"><br></div></span></div></span><span class="im"><div style="font-family:arial,sans-serif;font-size:13px"><span style="font-family:tahoma,sans-serif"><div class="gmail_default" style="font-size:small;display:inline">So the problem seems to be more general then the effect of a different package setup on Windows vs Linux.</div></span></div><div style="font-family:arial,sans-serif;font-size:13px"><span style="font-family:tahoma,sans-serif"><div class="gmail_default" style="font-size:small;display:inline"><br></div></span></div><div style="font-family:arial,sans-serif;font-size:13px"><span style="font-family:tahoma,sans-serif"><div class="gmail_default" style="font-size:small;display:inline">I have tried building QuantLib on windows with succes, but only through VS2010, the MinGW howto's I have found havn't given me enough information to compile, and I havn't either been able to build RQuantLib, but this seems to be a problem with the correct setup of configuration files.</div></span></div><div style="font-family:arial,sans-serif;font-size:13px"><span style="font-family:tahoma,sans-serif"><br></span></div><div style="font-family:arial,sans-serif;font-size:13px"><div class="gmail_default" style="display:inline"><font face="tahoma, sans-serif">What are your ideas as how to proceed?</font></div></div><div style="font-family:arial,sans-serif;font-size:13px"><div class="gmail_default" style="display:inline"><font face="tahoma, sans-serif"><br></font></div></div><div style="font-family:arial,sans-serif;font-size:13px"><div class="gmail_default" style="display:inline"><font face="tahoma, sans-serif">Kind regards</font></div></div><div style="font-family:arial,sans-serif;font-size:13px"><div class="gmail_default" style="display:inline"><font face="tahoma, sans-serif">Jess Aunsbjørn </font></div><font face="tahoma, sans-serif"></font></div></span></div></div><div><br></div>-- <br>--<br>Jess Thorvall Aunsbjørn<br><a href="mailto:Thorvall@gmail.com" target="_blank">Thorvall@gmail.com</a><br><br><br>
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