added Windows build and manual

Boost_LICENSE.TXT

@@ -0,0 +1,24 @@
+Boost Software License - Version 1.0 - August 17th, 2003
+
+Permission is hereby granted, free of charge, to any person or organization
+obtaining a copy of the software and accompanying documentation covered by
+this license (the "Software") to use, reproduce, display, distribute,
+execute, and transmit the Software, and to prepare derivative works of the
+Software, and to permit third-parties to whom the Software is furnished to
+do so, all subject to the following:
+
+The copyright notices in the Software and this entire statement, including
+the above license grant, this restriction and the following disclaimer,
+must be included in all copies of the Software, in whole or in part, and
+all derivative works of the Software, unless such copies or derivative
+works are solely in the form of machine-executable object code generated by
+a source language processor.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE, TITLE AND NON-INFRINGEMENT. IN NO EVENT
+SHALL THE COPYRIGHT HOLDERS OR ANYONE DISTRIBUTING THE SOFTWARE BE LIABLE
+FOR ANY DAMAGES OR OTHER LIABILITY, WHETHER IN CONTRACT, TORT OR OTHERWISE,
+ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER
+DEALINGS IN THE SOFTWARE.
+

QuantLib_LICENSE.TXT

@@ -0,0 +1,147 @@
+QuantLib is
+    Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
+
+    Copyright (C) 2001, 2002, 2003 Nicolas Di C�sar�
+    Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
+
+    Copyright (C) 2002, 2003, 2004 Decillion Pty(Ltd)
+    Copyright (C) 2002, 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012 Ferdinando Ametrano
+
+    Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2014 StatPro Italia srl
+    Copyright (C) 2003, 2004, 2007 Neil Firth
+    Copyright (C) 2003, 2004 Roman Gitlin
+    Copyright (C) 2003, 2005, 2013 Gary Kennedy
+    Copyright (C) 2003 Niels Elken S�nderby
+    Copyright (C) 2003 Kawanishi Tomoya
+
+    Copyright (C) 2004 FIMAT Group
+    Copyright (C) 2004 M-Dimension Consulting Inc.
+    Copyright (C) 2004 Mike Parker
+    Copyright (C) 2004 Walter Penschke
+    Copyright (C) 2004 Gianni Piolanti
+    Copyright (C) 2004, 2005, 2006, 2007, 2008, 2009, 2010, 2011, 2012, 2013, 2014 Klaus Spanderen
+    Copyright (C) 2004 Jeff Yu
+
+    Copyright (C) 2005, 2006, 2008 Toyin Akin
+    Copyright (C) 2005 Sercan Atalik
+    Copyright (C) 2005, 2006 Theo Boafo
+    Copyright (C) 2005, 2006, 2007, 2009 Piter Dias
+    Copyright (C) 2005, 2006, 2007 Joseph Wang
+    Copyright (C) 2005 Charles Whitmore
+
+    Copyright (C) 2006, 2007 Banca Profilo S.p.A.
+    Copyright (C) 2006, 2007 Marco Bianchetti
+    Copyright (C) 2006 Yiping Chen
+    Copyright (C) 2006 Warren Chou
+    Copyright (C) 2006, 2007 Cristina Duminuco
+    Copyright (C) 2006, 2007 Giorgio Facchinetti
+    Copyright (C) 2006, 2007 Chiara Fornarola
+    Copyright (C) 2006 Silvia Frasson
+    Copyright (C) 2006 Richard Gould
+    Copyright (C) 2006, 2007, 2008, 2009, 2010 Mark Joshi
+    Copyright (C) 2006, 2007, 2008 Allen Kuo
+    Copyright (C) 2006, 2007, 2008, 2009, 2012 Roland Lichters
+    Copyright (C) 2006, 2007 Katiuscia Manzoni
+    Copyright (C) 2006, 2007 Mario Pucci
+    Copyright (C) 2006, 2007 Fran�ois du Vignaud
+
+    Copyright (C) 2007 Affine Group Limited
+    Copyright (C) 2007 Richard Gomes
+    Copyright (C) 2007, 2008 Laurent Hoffmann
+    Copyright (C) 2007, 2008, 2009, 2010, 2011 Chris Kenyon
+    Copyright (C) 2007 Gang Liang
+
+    Copyright (C) 2008, 2009 Jose Aparicio
+    Copyright (C) 2008 Yee Man Chan
+    Copyright (C) 2008, 2011 Charles Chongseok Hyun
+    Copyright (C) 2008 Piero Del Boca
+    Copyright (C) 2008 Paul Farrington
+    Copyright (C) 2008 Lorella Fatone
+    Copyright (C) 2008, 2009 Andreas Gaida
+    Copyright (C) 2008 Marek Glowacki
+    Copyright (C) 2008 Florent Grenier
+    Copyright (C) 2008 Frank H�vermann
+    Copyright (C) 2008 Simon Ibbotson
+    Copyright (C) 2008 John Maiden
+    Copyright (C) 2008 Francesca Mariani
+    Copyright (C) 2008, 2009, 2010, 2011, 2012 Master IMAFA - Polytech'Nice Sophia - Universit� de Nice Sophia Antipolis
+    Copyright (C) 2008, 2009 Andrea Odetti
+    Copyright (C) 2008 J. Erik Radmall
+    Copyright (C) 2008 Maria Cristina Recchioni
+    Copyright (C) 2008, 2009, 2012 Ralph Schreyer
+    Copyright (C) 2008 Roland Stamm
+    Copyright (C) 2008 Francesco Zirilli
+
+    Copyright (C) 2009 Nathan Abbott
+    Copyright (C) 2009 Sylvain Bertrand
+    Copyright (C) 2009 Fr�d�ric Degraeve
+    Copyright (C) 2009 Dirk Eddelbuettel
+    Copyright (C) 2009 Bernd Engelmann
+    Copyright (C) 2009, 2010, 2012 Liquidnet Holdings, Inc.
+    Copyright (C) 2009 Bojan Nikolic
+    Copyright (C) 2009, 2010 Dimitri Reiswich
+    Copyright (C) 2009 Sun Xiuxin
+
+    Copyright (C) 2010 Kakhkhor Abdijalilov
+    Copyright (C) 2010 Hachemi Benyahia
+    Copyright (C) 2010 Manas Bhatt
+    Copyright (C) 2010 DeriveXperts SAS
+    Copyright (C) 2010, 2014 Cavit Hafizoglu
+    Copyright (C) 2010 Michael Heckl
+    Copyright (C) 2010 Slava Mazur
+    Copyright (C) 2010, 2011, 2012, 2013 Andre Miemiec
+    Copyright (C) 2010 Adrian O' Neill
+    Copyright (C) 2010 Robert Philipp
+    Copyright (C) 2010 Alessandro Roveda
+    Copyright (C) 2010 SunTrust Bank
+
+    Copyright (C) 2011, 2013 Fabien Le Floc'h
+
+    Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz
+    Copyright (C) 2012, 2013, 2014 Peter Caspers
+    Copyright (C) 2012 Mateusz Kapturski
+    Copyright (C) 2012 Simon Shakeshaft
+    Copyright (C) 2012 �douard Tallent
+    Copyright (C) 2012 Samuel Tebege
+
+    Copyright (C) 2013 BGC Partners L.P.
+    Copyright (C) 2013 Cheng Li
+    Copyright (C) 2013 Yue Tian
+
+QuantLib includes code taken from Peter J�ckel's book "Monte Carlo
+Methods in Finance".
+
+QuantLib includes software developed by the University of Chicago,
+as Operator of Argonne National Laboratory.
+
+QuantLib includes a set of numbers provided by Stephen Joe and Frances
+Kuo under a BSD-style license.
+
+
+Redistribution and use in source and binary forms, with or without
+modification, are permitted provided that the following conditions are met:
+
+    Redistributions of source code must retain the above copyright notice,
+    this list of conditions and the following disclaimer.
+
+    Redistributions in binary form must reproduce the above copyright notice,
+    this list of conditions and the following disclaimer in the documentation
+    and/or other materials provided with the distribution.
+
+    Neither the names of the copyright holders nor the names of the QuantLib
+    Group and its contributors may be used to endorse or promote products
+    derived from this software without specific prior written permission.
+
+THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND
+CONTRIBUTORS "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES,
+INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF
+MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDERS OR
+CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF
+USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED
+AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT
+LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN
+ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
+POSSIBILITY OF SUCH DAMAGE.

README.md

@@ -4,8 +4,7 @@
 
 The RHestonSLV package makes the implementation of the Heston
 Stochastic Local Volatility model in  
-[QuantLib](https://github.com/lballabio/quantlib) visible to the R
-user. 
+[QuantLib](https://github.com/lballabio/quantlib) visible for R users. 
 
 Local Stochastic Volatility (LSV) models have become the industry standard
 for FX and equity markets. The local volatility extension of the popular Heston 

demo/barrierdelta.R

@@ -15,7 +15,7 @@
 #  along with RHestonSLV.  If not, see <http:#www.gnu.org/licenses/>.
 
 library(RHestonSLV)
-library(parallel)
+#library(parallel)
 library(RQuantLib)
 
 vol <- 0.3
@@ -33,16 +33,16 @@ barriers <- seq(0, 100, 5)
 slvBarrierDelta <- function(eta) {
   process <- HestonProcess(cf(0.05), cf(0.02),
                            100, 0.09, 1.0, 0.06, eta * 0.4,-0.75)
-  
+
   model <- new (HestonSLVFDMModel,
                 Sys.Date(),
                 Sys.Date() + 1095,
                 localVol,
                 process,
                 params)
-  
+
   initialize <- leverageFunction(model, TRUE)(0.1, process["spot"])
-  
+
   sapply(barriers, function(barrier) {
     hestonSLVBarrierPricer(
       Sys.Date(),
@@ -59,16 +59,16 @@ slvBarrierDelta <- function(eta) {
   })
 }
 
-cl <- makeCluster(detectCores(), "FORK")
+#cl <- makeCluster(detectCores(), "FORK")
 
-deltas <- parSapply(cl=cl, c(1.0,0.5,0.25, 0.1), function(eta) {
+deltas <- sapply(c(1.0,0.5,0.25, 0.1), function(eta) {
   slvBarrierDelta(eta)
 })
 
-stopCluster(cl)
+#stopCluster(cl)
 
 lvBarrierDelta <- sapply(barriers, function(barrier) {
-  barrierPrice <- function(underlying, barrier) { 
+  barrierPrice <- function(underlying, barrier) {
     BarrierOption(
       "downout", "put",
       underlying=underlying,
@@ -79,7 +79,7 @@ lvBarrierDelta <- sapply(barriers, function(barrier) {
       volatility=0.3,
       barrier=max(0.001, barrier))$value
   }
-  
+
   10*(barrierPrice(100.1, barrier)-barrierPrice(100.0, barrier))
 })
 
@@ -90,7 +90,7 @@ s4 <- spline(barriers, lvBarrierDelta-deltas[,4], n=100, method="natural")
 
 par(mar=c(5.1,4.6,4.1,2.1))
 
-plot(s1$x, s1$y, type='l', ,xlim=c(0,100), xlab="Barrier", 
+plot(s1$x, s1$y, type='l', ,xlim=c(0,100), xlab="Barrier",
     ylab=expression(paste('\U0394'[local], ' - \U0394'[SLV])),
     main=expression(paste('Barrier Option \U0394'[local], ' vs \U0394'[SLV])),lty=2,
     cex.main=1.4,cex.lab=1.3)

demo/barrierprice.R

@@ -15,7 +15,7 @@
 #  along with RHestonSLV.  If not, see <http:#www.gnu.org/licenses/>.
 
 library(RHestonSLV)
-library(parallel)
+#library(parallel)
 library(RQuantLib)
 
 vol <- 0.3
@@ -59,13 +59,13 @@ slvBarrierPrices <- function(eta) {
   })
 }
 
-cl <- makeCluster(detectCores(), "FORK")
+#cl <- makeCluster(detectCores(), "FORK")
 
-prices <- parSapply(cl=cl, c(1.0,0.5,0.25, 0.1), function(eta) {
+prices <- sapply(c(1.0,0.5,0.25, 0.1), function(eta) {
   slvBarrierPrices(eta)
 })
 
-stopCluster(cl)
+#stopCluster(cl)
 
 lvBarrierPrices <- sapply(barriers, function(barrier) {
   BarrierOption(

demo/forwardskew.R

@@ -15,7 +15,7 @@
 #  along with RHestonSLV.  If not, see <http:#www.gnu.org/licenses/>.
 
 library(RHestonSLV)
-library(parallel)
+#library(parallel)
 
 vol <- 0.3
 localVol <- function(t, s) { vol }
@@ -48,13 +48,13 @@ impliedVols <- function(eta) {
   })
 }
 
-cl <- makeCluster(detectCores(), "FORK")
+#cl <- makeCluster(detectCores(), "FORK")
 
-vols <- parSapply(cl=cl, c(1.0, 0.5, 0.25), function(eta) {
+vols <- sapply(c(1.0, 0.5, 0.25), function(eta) {
   impliedVols(eta)
 })
 
-stopCluster(cl)
+#stopCluster(cl)
 
 iv100 <- vols[,1]*100
 iv050 <- vols[,2]*100

demo/impliedvol.R

@@ -15,7 +15,7 @@
 #  along with RHestonSLV.  If not, see <http:#www.gnu.org/licenses/>.
 
 library(RHestonSLV)
-library(parallel)
+#library(parallel)
 
 vol <- 0.3
 localVol <- function(t, s) { vol }
@@ -56,15 +56,15 @@ impliedVol <- function(strike, maturity, model) {
 
 strikes <- seq(50, 250, 10)
 
-cl <- makeCluster(detectCores(), "FORK")
+#cl <- makeCluster(detectCores(), "FORK")
 
-vfd <-parSapply(cl=cl, strikes, function(strike) {
+vfd <-sapply(strikes, function(strike) {
       impliedVol(strike, 1.0, modelfd) })
 
-vmc <-parSapply(cl=cl, strikes, function(strike) {
+vmc <-sapply(strikes, function(strike) {
   impliedVol(strike, 1.0, modelmc) })
 
-stopCluster(cl)
+#stopCluster(cl)
 
 plot(strikes, vmc*100, main="Round-Trip Error for 1Y Maturity",
      xlab="Strike", ylab="Implied Volatility (in %)",

demo/moustache.R

@@ -15,7 +15,7 @@
 #  along with RHestonSLV.  If not, see <http:#www.gnu.org/licenses/>.
 
 library(RHestonSLV)
-library(parallel)
+#library(parallel)
 
 process <- HestonProcess(cf(0.02), cf(0.01),
                          100, 0.09, 1.0, 0.06, 0.8, -0.8)
@@ -67,13 +67,13 @@ slvDoubleBarrierPrices <- function(eta) {
   })
 }
 
-cl <- makeCluster(detectCores(), "FORK")
+#cl <- makeCluster(detectCores(), "FORK")
 
-slvPrices <- parSapply(cl=cl, c(1.0, 0.75, 0.5, 0.25, 0.001), function(eta) {
+slvPrices <- sapply(c(1.0, 0.75, 0.5, 0.25, 0.001), function(eta) {
   slvDoubleBarrierPrices(eta)
 })
 
-stopCluster(cl)
+#stopCluster(cl)
 
 bsNPV <- unlist(sapply(barriers, function(barrier) {
   bsDoubleNoTouchBarrierPricer(

readme.linux

@@ -0,0 +1,31 @@
+Build and installation on Linux
+
+Prerequisite
+R, QuantLib and boost are installed in standard directories.
+
+
+1. install Rcpp
+
+echo "install.packages(\"Rcpp\", repos=\"https://cran.r-project.org\")" | R --vanilla
+
+
+2. download and build RHestonSLV  
+
+https://github.com/klausspanderen/RHestonSLV/archive/master.zip
+
+und extract files.
+
+
+2a. Open RStudio
+
+File -> Open Project -> open RHestonSLV.Rproj 
+
+Build -> Build and Reload
+
+
+2b. or alternatively run
+
+R CMD INSTALL RHestonSLV
+
+
+done