File R-greeks.spec of Package R-greeks
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# Spec file for package greeks
# This file is auto-generated using information in the package source,
# esp. Description and Summary. Improvements in that area should be
# discussed with upstream.
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%global packname greeks
%global rlibdir %{_libdir}/R/library
Name: R-%{packname}
Version: 1.4.3
Release: 0
Summary: Sensitivities of Prices of Financial Options and Implied Volatilities
Group: Development/Libraries/Other
License: MIT + file LICENSE
URL: http://cran.r-project.org/web/packages/%{packname}
Source: greeks_1.4.3.tar.gz
Requires: R-base
Requires: R-magrittr
Requires: R-dqrng
Requires: R-Rcpp
Requires: R-tibble
Requires: R-ggplot2
Requires: R-plotly
Requires: R-shiny
Requires: R-tidyr
Requires: R-BH
Requires: R-sitmo
Requires: R-cli
Requires: R-glue
Requires: R-gtable
Requires: R-isoband
Requires: R-lifecycle
Requires: R-rlang
Requires: R-scales
Requires: R-vctrs
Requires: R-withr
Requires: R-httr
Requires: R-jsonlite
Requires: R-digest
Requires: R-viridisLite
Requires: R-base64enc
Requires: R-htmltools
Requires: R-htmlwidgets
Requires: R-RColorBrewer
Requires: R-dplyr
Requires: R-lazyeval
Requires: R-crosstalk
Requires: R-purrr
Requires: R-data.table
Requires: R-promises
Requires: R-httpuv
Requires: R-mime
Requires: R-xtable
Requires: R-fontawesome
Requires: R-R6
Requires: R-sourcetools
Requires: R-later
Requires: R-crayon
Requires: R-fastmap
Requires: R-commonmark
Requires: R-bslib
Requires: R-cachem
Requires: R-fansi
Requires: R-pillar
Requires: R-pkgconfig
Requires: R-stringr
Requires: R-tidyselect
Requires: R-cpp11
Requires: R-jquerylib
Requires: R-memoise
Requires: R-sass
Requires: R-generics
Requires: R-knitr
Requires: R-rmarkdown
Requires: R-yaml
Requires: R-curl
Requires: R-openssl
Requires: R-utf8
Requires: R-farver
Requires: R-labeling
Requires: R-munsell
Requires: R-stringi
Requires: R-evaluate
Requires: R-highr
Requires: R-xfun
Requires: R-colorspace
Requires: R-askpass
Requires: R-tinytex
Requires: R-fs
Requires: R-rappdirs
Requires: R-sys
# %%if 0%%{?sle_version} > 120400 || 0%%{?is_opensuse}
# # Three others commonly needed
# BuildRequires: tex(ae.sty)
# BuildRequires: tex(fancyvrb.sty)
# BuildRequires: tex(inconsolata.sty)
# BuildRequires: tex(natbib.sty)
# %else
# BuildRequires: texlive
# %endif
# BuildRequires: texinfo
BuildRequires: fdupes
BuildRequires: R-base
BuildRequires: R-magrittr
BuildRequires: R-dqrng
BuildRequires: R-Rcpp-devel
BuildRequires: R-tibble
BuildRequires: R-ggplot2
BuildRequires: R-plotly
BuildRequires: R-shiny
BuildRequires: R-tidyr
BuildRequires: R-BH-devel
BuildRequires: R-sitmo
BuildRequires: R-cli
BuildRequires: R-glue
BuildRequires: R-gtable
BuildRequires: R-isoband
BuildRequires: R-lifecycle
BuildRequires: R-rlang
BuildRequires: R-scales
BuildRequires: R-vctrs
BuildRequires: R-withr
BuildRequires: R-httr
BuildRequires: R-jsonlite
BuildRequires: R-digest
BuildRequires: R-viridisLite
BuildRequires: R-base64enc
BuildRequires: R-htmltools
BuildRequires: R-htmlwidgets
BuildRequires: R-RColorBrewer
BuildRequires: R-dplyr
BuildRequires: R-lazyeval
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BuildRequires: R-promises
BuildRequires: R-httpuv
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BuildRequires: R-xtable
BuildRequires: R-fontawesome
BuildRequires: R-R6
BuildRequires: R-sourcetools-devel
BuildRequires: R-later
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BuildRequires: R-fastmap
BuildRequires: R-commonmark
BuildRequires: R-bslib
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BuildRequires: R-stringr
BuildRequires: R-tidyselect
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BuildRequires: R-curl
BuildRequires: R-openssl
BuildRequires: R-utf8
BuildRequires: R-farver
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BuildRequires: R-evaluate
BuildRequires: R-highr
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BuildRequires: gcc gcc-c++ gcc-fortran
Suggests: R-knitr
Suggests: R-rmarkdown
Suggests: R-testthat
Suggests: R-R.rsp
%description
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).
%prep
%setup -q -c -n %{packname}
# the next line is needed, because we build without --clean in between two packages
rm -rf ~/.R
%build
%install
mkdir -p %{buildroot}%{rlibdir}
%{_bindir}/R CMD INSTALL -l %{buildroot}%{rlibdir} %{packname}
test -d %{packname}/src && (cd %{packname}/src; rm -f *.o *.so)
rm -f %{buildroot}%{rlibdir}/R.css
%fdupes -s %{buildroot}%{rlibdir}
#%%check
#%%{_bindir}/R CMD check %%{packname}
%files
%dir %{rlibdir}/%{packname}
%doc %{rlibdir}/%{packname}/DESCRIPTION
%{rlibdir}/%{packname}/INDEX
%license %{rlibdir}/%{packname}/LICENSE
%{rlibdir}/%{packname}/Meta
%{rlibdir}/%{packname}/NAMESPACE
%doc %{rlibdir}/%{packname}/NEWS.md
%{rlibdir}/%{packname}/R
%doc %{rlibdir}/%{packname}/doc
%doc %{rlibdir}/%{packname}/help
%doc %{rlibdir}/%{packname}/html
%{rlibdir}/%{packname}/libs
%changelog
