R Observatory: Metrics for LSMonteCarlo version 1.0

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

LSMonteCarlo

1.0Package record

American options pricing with Least Squares Monte Carlo method

0packages depend

3Kdownloads / year

–test coverage

11/13flavors OK

Overview

About

Maintained by Mikhail A. BeketovCRAN page ↗

The package compiles functions for calculating prices of American put options with Least Squares Monte Carlo method. The option types are plain vanilla American put, Asian American put, and Quanto American put. The pricing algorithms include variance reduction techniques such as Antithetic Variates and Control Variates. Additional functions are given to derive "price surfaces" at different volatilities and strikes, create 3-D plots, quickly generate Geometric Brownian motion, and calculate prices of European options with Black & Scholes analytical solution.

Install

R (CRAN)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("LSMonteCarlo", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-lsmontecarlo

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled. We list this channel from recorded r2u download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-LSMonteCarlo

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-LSMonteCarlo

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed). We list this channel from recorded autoCRAN download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

Health

CRAN checks

2NOTE11OK

Check messages

NOTECRAN incoming feasibilityr-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc

Maintainer: ‘Mikhail A. Beketov <mikhail.beketov@gmx.de>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: person(given = c("Mikhail", "A."),
                    family = "Beketov",
                    role = c("aut", "cre"),
                    email = "mikhail.beketov@gmx.de")
as necessary.

Found the following \keyword or \concept entries
which likely give several index terms:
  File ‘LSMonteCarlo-package.Rd’:
    \keyword{ 
      Quantitative Finance
      Option pricing
      Mon [TRUNCATED]

CRAN check page ↗

Slowest check: 1.5 min · r-oldrel-windows-x86_64

Status changes

NOTE11 OK, 2 NOTENow
NOTE12 OK, 2 NOTE2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 1.0

READMENoVignettesNoNEWSNoCitation fileNoWebsitenot declared in DESCRIPTION

Help pages: 14includes a package overview page
Examples that run: 100%14 run in a plain check
Exported functions with examples: 100%
Documented parameters: not tracked
Return-value docs: not tracked
Help pages citing references: 50%

How these are measured

Downloads

3K

CRAN downloads in the past year

Rank #13,248 · ~8/day · ~253/mo

Releases R versions

Daily download trend is not available in this view yet.

32830 days

85990 days

3K1 year

Compare downloads with other packages →

Also on88 r2u4 autocran133 c2d4u

How downloads are counted

Dependencies

Declared dependencies

2 external dependencies (excludes base and recommended)

Installing LSMonteCarlo adds 6 packages (3 with compiled code, 4.2 MB of source tarballs). Heaviest: timeSeries 1.4 MB, mvtnorm 1.0 MB, fBasics 917 KB.

Depends (6)

mvtnorm fBasicsstatsutilsgraphicsgrDevices

Imports (0)

none

LinkingTo (0)

none

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

How these are counted

Code & Tests

People & History

People (from the free-text Author field) (1)

Mikhail A. Beketov

Maintainer since 1.0 (2013)

Releases (1)

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
R
R 3.6.0 released · 2019-04-26
R
R 3.5.0 released · 2018-04-23
R
R 3.4.0 released · 2017-04-21
R
R 3.3.0 released · 2016-05-03
R
R 3.2.0 released · 2015-04-16
R
R 3.1.0 released · 2014-04-10
1.0Latest
record
2013-09-23 · current release
R
R 3.0.0 released · 2013-04-03

Package metadata

First published: 2013-09-23
Total releases: 1 / 13 yrs
License: GPL-3 OSI
Download size: 9.1 KB

Appears in task views

Empirical Finance

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("LSMonteCarlo")

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for LSMonteCarlo version 1.0 [Data set]. HJJB, LLC. Data release v2026-10-20. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-20, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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