good R package for vectorized option pricing

Question

I am using for now the package fOptions but it doesn't allow for vectorized computation of black76 prices and delta. Which package can be used to do that?

As noted by @Richard, I could use lapply, but it is actually looping in R, which is slow (at least too slow for me). I am looking for a package that has a compiled loop, ie that provides a native vectorized function.

Answer 1

Answering my own question as it could be useful for others. Actually package fOptions is vectorized. The only constraint (and that make sense) is that you can't compute at the same time 2 different greeks, or mix up calls and puts.

So assuming that you want to compute the delta of a set of puts, the code will be the following:

fOptions::GBSGreeks(Selection = "Delta",
                    TypeFlag="p",
                    S=c(100,100)+1:2, 
                    X=c(100,100), 
                    Time=c(0.1,0.2),
                    r=c(0,0), 
                    b=c(0,0), 
                    sigma=c(0.2,0.2))

which returns the same (that's the validation) as the output of mapply:

mapply(FUN       = fOptions::GBSGreeks,
       Selection = c("Delta","Delta"),
       TypeFlag=c("p","p"),
       S=c(100,100)+1:2, 
       X=c(100,100),
       Time=c(0.1,0.2),
       r=c(0,0), 
       b=c(0,0), 
       sigma=c(0.2,0.2))

nice...

Answer 2

if you put all your option objects into a list then you can use lapply. Read the documentation or just thist post for details.