How to code Second derivates Greek in R language especially Vanna and Volga

Question

How to code Second derivatives Greek in R language especially Vanna and Volga for Black Scholes Model. I am only able to get the code under First derivatives i.e. delta gamma theta vega under the library of foptions library.

Answer 1

You can do it with the greeks package: https://code.google.com/p/rgreeks/

Here is the example from ?greeks

greeks(51.03, # underlying price
       55,    # strike
       0,     # dividend rate
       0,     # risk-free rate
       25/360,# time remaining
       0.5)   # volatility estimate

List of 2
 $ call:List of 15
  ..$ value     : num 1.24
  ..$ delta     : num 0.308
  ..$ gamma     : num 0.0523
  ..$ vega      : num 4.73
  ..$ theta     : num -17
  ..$ rho       : num 1
  ..$ vanna     : num 0.446
  ..$ charm     : num 1.61
  ..$ zomma     : num -0.0712
  ..$ speed     : num 0.00288
  ..$ colour    : num -0.256
  ..$ DvegaDtime: num -44.9
  ..$ vomma     : num 3.02
  ..$ dualdelta : num -0.263
  ..$ dualgamma : num 0.045
 $ put :List of 15
  ..$ value     : num 5.21
  ..$ delta     : num -0.692
  ..$ gamma     : num 0.0523
  ..$ vega      : num 4.73
  ..$ theta     : num -17
  ..$ rho       : num -2.82
  ..$ vanna     : num 0.446
  ..$ charm     : num 1.61
  ..$ zomma     : num -0.0712
  ..$ speed     : num 0.00288
  ..$ colour    : num -0.256
  ..$ DvegaDtime: num -44.9
  ..$ vomma     : num 3.02
  ..$ dualdelta : num 0.737
  ..$ dualgamma : num 0.045