Hi I'm trying to use RQuantLib to evaluate arithmetic Asian options on a windows 64 bit platform.
Using the geometric pricer the codes executes correct, but using arithmetic crashes R. Have tried in Rstudie and through R-term with both x86 and x64 executable.
GeomOption <- AsianOption("geometric", "put", underlying=80, strike=85, div=0, riskFree=0.005,maturity=1.25, vol=0.2)
ArithOption <- AsianOption("arithmetic", "put", underlying=80, strike=85, div=0, riskFree=0.005, maturity=1.25, vol=0.2)
I have tried building QuantLib through VS2010 but this makes no difference as expected, since RQuantLib on Windows do not require this.
Searchinh this site, r-sig-finance and quantlib havn't given my any answers so I presume the it must be a local problem. Can you help guide me?
Yes, Michele and I discovered this recently too but have not had time to debug this. If you could dig into this it would be great. This appears to be a Windows-only issue, and the underlying code has not changed so maybe something funky goes on here with the default compiler options.
Follow-up on rquantlib-devel would be preferred.