ragtop
Pricing Equity Derivatives with Extensions of Black-Scholes
v1.2.0
·
Jul 10, 2025
·
GPL (>= 2)
Description
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>.
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Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | ERROR |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | ERROR |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | ERROR |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (3 non-OK)
ERROR
r-devel-macos-arm64
re-building of vignette outputs
Error(s) in re-building vignettes:
--- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown
Quitting from ragtop_convertibles_in_r.Rmd:424-461 [twitter_cb_via_BondValuation]
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
<error/rlang_error>
Error in `if (index_LIPD >= 1) ...`:
! argument is of length zero
---
Backtrace:
▆
1. └─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
ERROR
r-oldrel-macos-arm64
re-building of vignette outputs
Error(s) in re-building vignettes:
--- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown
2026-03-23 08:13:33.204 R[33902:192000] XType: Using static font registry.
Quitting from ragtop_convertibles_in_r.Rmd:424-461 [twitter_cb_via_BondValuation]
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
<error/rlang_error>
Error in `if (index_LIPD >= 1) ...`:
! argument is of length zero
---
Backtrace:
▆
1. └─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
ERROR
r-release-macos-arm64
re-building of vignette outputs
Error(s) in re-building vignettes:
--- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown
2026-04-06 10:55:21.064 R[37170:195746] XType: Using static font registry.
Quitting from ragtop_convertibles_in_r.Rmd:424-461 [twitter_cb_via_BondValuation]
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
<error/rlang_error>
Error in `if (index_LIPD >= 1) ...`:
! argument is of length zero
---
Backtrace:
▆
1. └─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
Check History
ERROR 11 OK · 0 NOTE · 0 WARNING · 3 ERROR · 0 FAILURE Mar 10, 2026
ERROR
r-devel-macos-arm64
re-building of vignette outputs
Error(s) in re-building vignettes: --- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown Quitting from ragtop_convertibles_in_r.Rmd:424-461 [twitter_cb_via_BondValuation] ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ ...[truncated]... 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
ERROR
r-release-macos-arm64
re-building of vignette outputs
Error(s) in re-building vignettes: --- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown 2026-03-11 03:38:23.054 R[19696:634817] XType: Using static font registry. Quitting from ragtop_convertibles_in_r.Rmd:424-461 [twitter_cb_via_BondValua ...[truncated]... 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
ERROR
r-oldrel-macos-arm64
re-building of vignette outputs
Error(s) in re-building vignettes: --- re-building ‘ragtop_convertibles_in_r.Rmd’ using rmarkdown 2026-03-11 08:22:48.489 R[29498:188131] XType: Using static font registry. Quitting from ragtop_convertibles_in_r.Rmd:424-461 [twitter_cb_via_BondValua ...[truncated]... 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