R Observatory: Metrics for greeks version 1.5.6

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

greeks

1.5.6Package record

Sensitivities of Prices of Financial Options and Implied Volatilities

0packages depend

5.9Kdownloads / year

74.5%test coverage

13/13flavors OK

Overview

About

Maintained by Anselm HuddeCRAN page ↗GitHub ↗Issues ↗

Methods to calculate sensitivities of financial option prices for European, geometric and arithmetic Asian, and American options, with various payoff functions in the Black Scholes model, and in more general jump diffusion models. A shiny app to interactively plot the results is included. Furthermore, methods to compute implied volatilities are provided for a wide range of option types and custom payoff functions. Classical formulas are implemented for European options in the Black Scholes Model, as is presented in Hull, J. C. (2017), Options, Futures, and Other Derivatives. In the case of Asian options, Malliavin Monte Carlo Greeks are implemented, see Hudde, A. & Rüschendorf, L. (2023). European and Asian Greeks for exponential Lévy processes. doi:10.1007/s11009-023-10014-5. For American options, the Binomial Tree Method is implemented, as is presented in Hull, J. C. (2017).

Install

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

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

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

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("ahudde/greeks")

Development version from ahudde/greeks. Installs pak first if it is not already available.

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-greeks

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-greeks

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-greeks

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

13OK

CRAN check page ↗

Slowest check: 8.1 min · r-devel-windows-x86_64

Status changes

OK13 OK2026-08-05
NOTE12 OK, 1 NOTE2026-08-01
OK13 OK2026-06-09
ERROR12 OK, 1 ERROR2026-06-08
OK14 OK2026-04-22

Show 2 earlier changesHide 2 earlier changes

ERROR13 OK, 1 ERROR2026-04-18
OK14 OK2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 1.5.6

READMEYes · 523 wordsVignettesYes · 5 · dynamicNEWSYes · 100% structured · does not mention 1.5.6Citation fileNoWebsitenot declared in DESCRIPTION

Help pages: 12 (1 internal)
Examples that run: 100%10 run in a plain check
Exported functions with examples: 83%
Documented parameters: 95%
Return-value docs: 91%
Help pages citing references: 50%

Vignettes (5)

How these are measured

Downloads

5.9K

CRAN downloads in the past year

Rank #5,450 · ~16/day · ~490/mo

Releases R versions

Daily download trend is not available in this view yet.

61930 days

1.5K90 days

5.9K1 year

Compare downloads with other packages →

Also on417 r2u6 autocran97 c2d4u

How downloads are counted

Repository

ahudde/greeks ↗Account: ahudde

8Stars

5Forks

1Open issues

2Open PRs

1Releases

376Commits

4Commit identities

optiongreeksasian-optionr-packageimplied-volatility

376 commits · Last activity 2026-08-04 · 0% stars, 30d · Default branch at 1.5.7, ahead of CRAN 1.5.6 (checked 2026-10-21)

Responsiveness

How these are sampled

PRs merged (all time): 100%
Median days to close, 50 most recently updated closed issues: 46
Median days to close, 50 most recently updated closed PRs: 0

Stars over time

2025-03-02 · 72026-07-07 · 8

How these are measured

PracticesBeta

4 development-tooling and community-health practices detected across 3 families in the upstream repository

Checks run against github.com/ahudde/greeks on 2026-10-21.

Continuous integration (2)

GitHub ActionsR CMD check workflow

The R CMD check workflow runs on Linux, macOS and Windows, and on R-devel

Coverage (1)

Coverage reporting (Codecov)

Lint, format, editor (1)

RStudio project

How this is detected·Detection ruleset v4 (2026-10-20)

Dependencies

Declared dependencies

13 external dependencies (excludes base and recommended)

Installing greeks adds 72 packages (40 with compiled code, 82 MB of source tarballs). Heaviest: BH 14 MB, stringi 11 MB, ggplot2 6.0 MB.

Depends (0)

none

Imports (8)

magrittr dqrng Rcpp tibble ggplot2 plotly shiny tidyr

LinkingTo (1)

Rcpp

Suggests (4)

knitr rmarkdown testthat R.rsp

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

How these are counted

Code & Tests

People & History

People (1)

Anselm Hudde

Author, Maintainer since 0.0.1 (2021)

Releases (24)

Pick two releases to compare their code metrics.

1.5.6Latest
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2026-07-17 · current release · diff ↗
1.5.3
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2026-05-07 · diff ↗
R
R 4.6.0 released · 2026-04-24
1.5.1
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2025-11-17 · diff ↗
R
R 4.5.0 released · 2025-04-11
1.4.4
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2025-03-02 · diff ↗
1.4.3
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2024-09-17 · diff ↗
R
R 4.4.0 released · 2024-04-24
1.4.2
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2024-04-23 · diff ↗
1.3.5
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2024-03-03 · diff ↗
1.3.2
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2024-01-31 · diff ↗
1.3.1
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2023-11-02 · diff ↗
1.3
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2023-09-14 · diff ↗
1.2.0
record
2023-08-17 · diff ↗ ·
added 2 exports
BS_Malliavin_Asian_Greeks, Malliavin_Geometric_Asian_Greeks
R
R 4.3.0 released · 2023-04-21
1.1.0
record
2023-03-17 · diff ↗ ·
added 1 export
BS_Geometric_Asian_Greeks

Show 15 earlier eventsHide 15 earlier events

1.0.0
record
2023-02-16 · diff ↗ ·
removed 1 export
Malliavin_Asian_Greeks_Black_Scholes
0.8.1
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2023-01-15 · diff ↗
0.8.0
record
2023-01-13 · diff ↗ ·
added 1 export
Greeks_UI
0.7.0
record
2022-08-26 · diff ↗
0.6.0
record
2022-05-03 · diff ↗ ·
added 2 exports
BS_Implied_Volatility, Malliavin_Asian_Greeks_Black_Scholes
R
R 4.2.0 released · 2022-04-22
0.5.0
record
2022-02-15 · diff ↗ ·
added 1 export
Implied_Volatility
0.4.1
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2021-12-14 · diff ↗
0.4.0
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2021-11-16 · diff ↗ ·
added 1 export
Greeks
0.3.1
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2021-08-06 · diff ↗
0.3.0
record
2021-07-04 · diff ↗ ·
added 1 export
Binomial_American_Greeks
0.2.0
record
2021-05-31 · diff ↗ ·
added 1 export
Malliavin_European_Greeks
R
R 4.1.0 released · 2021-05-18
0.0.1
record
2021-05-06
R
R 4.0.0 released · 2020-04-24

Package metadata

First published: 2021-05-06
Total releases: 24 / 5 yrs
License: MIT + file LICENSE OSI
Download size: 250 KB

Appears in task views

Empirical Finance

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("greeks")

Format

Hudde, A. (2026). greeks: Sensitivities of Prices of Financial Options and Implied Volatilities (Version 1.5.6) [Computer software]. https://doi.org/10.32614/CRAN.package.greeks

This package has no citation file, so citation() returns this entry built from DESCRIPTION.

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 greeks version 1.5.6 [Data set]. HJJB, LLC. Data release v2026-10-25. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-25, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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