[Rquantlib-devel] AsianOption(“arithmetic”… crashes R

[Jess Thorvall Aunsbjørn]

Have encountered constant 'crash' of R when calling the AsianOption
function with type “arithmetic”.

Posted on StackOverflow yesterday and Dirk asked my to post here instead.

Hi I'm trying to use RQuantLib to evaluate arithmetic Asian options on a
windows 64 bit platform.

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.

library('RQuantLib')

R version 3.1.1 (2014-07-10)
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

GeomOption  <- AsianOption("geometric", "put", underlying=80,
strike=85, div=0, riskFree=0.005,maturity=1.25, vol=0.2)

ArithOption <- AsianOption("arithmetic", "put", underlying=80,
strike=85, div=0, riskFree=0.005, maturity=1.25, vol=0.2)

I have tried building QuantLib through VS2010 but this makes no difference
as expected, since RQuantLib on Windows do not require this.

​Have later tried the same call on a virtual linux mint version.
And in contrast to Dirk's expectation, R also crashed on this computer when
using 'arithmetric' type.

R version 2.15.1 (2012-06-22)
Platform: i686-pc-linux-gnu (32-bit)

locale:
 [1] LC_CTYPE=da_DK.UTF-8       LC_NUMERIC=C
 [3] LC_TIME=en_US.UTF-8        LC_COLLATE=da_DK.UTF-8
 [5] LC_MONETARY=en_US.UTF-8    LC_MESSAGES=da_DK.UTF-8
 [7] LC_PAPER=C                 LC_NAME=C
 [9] LC_ADDRESS=C               LC_TELEPHONE=C
[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base

loaded via a namespace (and not attached):
[1] tools_2.15.1
​


So the problem seems to be more general then the effect of a different
package setup on Windows vs Linux.

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.

​What are your ideas as how to proceed?

Kind regards
Jess Aunsbjørn ​
​

-- 
--
Jess Thorvall Aunsbjørn
Thorvall at gmail.com
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