R Observatory: Metrics for ragtop version 2.0.0

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

ragtop

2.0.0Package record

Pricing Equity Derivatives with Extensions of Black-Scholes

0packages depend

4.2Kdownloads / year

62.7%test coverage

6/13flavors OK

Overview

About

Maintained by Brian K. BoonstraCRAN page ↗

Algorithms to price American and European equity options, convertible bonds and a variety of other financial derivatives. It uses an extension of the usual Black-Scholes model in which jump to default may occur at a probability specified by a power-law link between stock price and hazard rate as found in the paper by Takahashi, Kobayashi, and Nakagawa (2001) doi:10.3905/jfi.2001.319302. We use ideas and techniques from Andersen and Buffum (2002) doi:10.2139/ssrn.355308 and Linetsky (2006) doi:10.1111/j.1467-9965.2006.00271.x.

Changes in 2.0.0

Version 2.0.0 adds risk sensitivity ("greeks") calculations along with the supporting cache infrastructure that makes them efficient.

New find_greeks() computes delta, gamma, vega, rates DV01 and credit DV01 for grid-priced instruments. Delta and gamma are read directly from a single pricing grid, while vega, rates DV01 and credit DV01 come from central-difference "bumping" of the supplied term structure functions. Callers may request any subset of the greeks.
Instruments now provide reset_caches(), and integrate_pde() clears per-run instrument state automatically. A single instrument object can therefore be priced repeatedly (as in bump-and-reprice greeks) without recreating it.
Fixed the futile.logger layout so that logger names no longer leak into formatted log messages.

From NEWS.md in the release

Install

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

install.packages("ragtop", 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-ragtop

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-ragtop

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-ragtop

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

2ERROR5NOTE6OK

Check messages

ERRORre-building of vignette outputsr-oldrel-macos-arm64, r-release-macos-arm64

r-oldrel-macos-arm64

Error(s) in re-building vignettes:
--- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown
2026-10-24 13:48:30.101 R[52018:228121] XType: Using static font registry.

Quitting from ragtop_convertibles_in_r.Rmd:439-484 [twitter_cb_via_BondValuation]
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
<error/rlang_error>
Error in `if (index_LIPD >= 1) ...`:
! argument is of length zero
---
Backtrace:
    ▆
 1. ├─base::tryCatch(...)
 2. │ └─base (local) tryCatchList(expr, classes, parentenv, handlers)
 3. └─BondValuation::AnnivDates(...)
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Error: processing vignette 'ragtop_convertibles_in_r.Rmd' failed with diagnostics:
argument is of length zero
--- failed re-building ‘ragtop_convertibles_in_r.Rmd’

SUMMARY: processing the following file failed:
  ‘ragtop_convertibles_in_r.Rmd’

Error: Vignette re-building failed.
Execution halted

r-release-macos-arm64

Error(s) in re-building vignettes:
--- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown

Quitting from ragtop_convertibles_in_r.Rmd:439-484 [twitter_cb_via_BondValuation]
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
<error/rlang_error>
Error in `if (index_LIPD >= 1) ...`:
! argument is of length zero
---
Backtrace:
    ▆
 1. ├─base::tryCatch(...)
 2. │ └─base (local) tryCatchList(expr, classes, parentenv, handlers)
 3. └─BondValuation::AnnivDates(...)
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Error: processing vignette 'ragtop_convertibles_in_r.Rmd' failed with diagnostics:
argument is of length zero
--- failed re-building ‘ragtop_convertibles_in_r.Rmd’

SUMMARY: processing the following file failed:
  ‘ragtop_convertibles_in_r.Rmd’

Error: Vignette re-building failed.
Execution halted

NOTER code for possible problemsr-devel-linux-x86_64-debian-clang, r-devel-linux-x86_64-debian-gcc, r-devel-linux-x86_64-fedora-clang, r-devel-linux-x86_64-fedora-gcc, r-devel-windows-x86_64

Found calls to structure() using deprecated special names:
  ragtop/tests/testthat/test_grid_solver.R (.Dim: 1)
'.Dim' should be changed to 'dim'.

CRAN check page ↗

Slowest check: 15.3 min · r-oldrel-windows-x86_64

Status changes

ERROR6 OK, 5 NOTE, 2 ERRORNow
ERROR11 OK, 2 ERROR2026-07-09
OK13 OK2026-06-21
ERROR11 OK, 3 ERROR2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 2.0.0

READMEYes · 250 wordsVignettesYes · 1 · dynamicNEWSYes · 100% structured · mentions 2.0.0Citation fileNoWebsitenot declared in DESCRIPTION

Help pages: 65 (7 internal)includes a package overview page
Examples that run: 100%13 run in a plain check
Exported functions with examples: 22%
Documented parameters: 91%
Return-value docs: 59%
Help pages citing references: 0%

Vignettes (1)

ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

How these are measured

Downloads

4.2K

CRAN downloads in the past year

Rank #7,166 · ~12/day · ~350/mo

Releases R versions

Daily download trend is not available in this view yet.

43330 days

1.2K90 days

4.2K1 year

Compare downloads with other packages →

Also on83 r2u3 autocran1.2K conda_forge160 c2d4u

How downloads are counted

Dependencies

Declared dependencies

14 external dependencies (excludes base and recommended)

Installing ragtop adds 4 packages (0 with compiled code, 147 KB of source tarballs). Heaviest: formatR 94 KB, lambda.r 25 KB, futile.logger 24 KB.

Depends (1)

R >= 3.5

Imports (4)

futile.loggermethodsstatsutils

LinkingTo (0)

none

Suggests (15)

BondValuation ggplot2 knitr limSolve lubridateMASSMatrixR.cache RColorBrewer reshape2 rmarkdown roxygen2 stringr testthat treasury

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

0direct

0indirect

Nothing depends on this yet.

How these are counted

Code & Tests

Datasets

People & History

People (1)

Brian K. Boonstra

Author, Maintainer since 0.5 (2016)

Listed in earlier versions (2)

Boonstra

no longer listed · 1.2.0

Brian K.

no longer listed · 1.2.1 to 2.0.0

Releases (8)

Pick two releases to compare their code metrics.

2.0.0Latest
record
2026-07-08 · current release · diff ↗ ·
added 2 exports
GREEK_NAMES, find_greeks
1.3.1
record
2026-06-20 · diff ↗ ·
added 1 export
pde_matrix_solve
1.2.1
record
2026-06-15 · diff ↗ ·
added 4 exports
check_discount_factor_fcn, check_survival_probability_fcn, check_variance_cumulation_fcn, warn_once_negative_default_intensity
R
R 4.6.0 released · 2026-04-24
unarchivedReturned to CRAN
2025-07-10
1.2.0
record
2025-07-10 · diff ↗ ·
removed 2 exports
Quandl_df_fcn_UST, Quandl_df_fcn_UST_raw

added 2 exports
treasury_df, treasury_df_raw
archivedRemoved from CRAN
2025-06-02
requires archived package 'limSolve'
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
1.1.1
record
2020-03-03 · diff ↗
1.1.0
record
2019-05-20 · diff ↗ ·
added 1 export
detail_from_AnnivDates
R
R 3.6.0 released · 2019-04-26

Show 5 earlier eventsHide 5 earlier events

1.0.0
record
2018-12-15 · diff ↗
R
R 3.5.0 released · 2018-04-23
R
R 3.4.0 released · 2017-04-21
0.5
record
2016-09-28
R
R 3.3.0 released · 2016-05-03

Package metadata

First published: 2016-09-28
Total releases: 8 / 10 yrs
License: GPL (>= 2) OSI
Minimum R: ≥ 3.5
Bundled data: 9.8 KB / 1 file
Download size: 158 KB

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("ragtop")

Format

Boonstra, B. K. (2026). ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes (Version 2.0.0) [Computer software]. https://doi.org/10.32614/CRAN.package.ragtop

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 ragtop version 2.0.0 [Data set]. HJJB, LLC. Data release v2026-10-24. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-24, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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