Description Usage Arguments Details Value Author(s) References Examples
This function values a Airbag Certificate using pricing by duplication and the Generalized Black/Scholes formula.
1 | AirbagCertificate(S, X, B, Time, r, r_d, sigma, participation, ratio = 1)
|
S |
the asset price, a numeric value. |
X |
the exercise price ("Partizipationslevel"), a numeric value. |
B |
the barrier ("Sicherheitslevel"), a numeric value. |
Time |
time to maturity measured in years |
r |
the annualized rate of interest, a numeric value; e.g. 0.25 means 25% pa. |
r_d |
the annualized dividend yield, a numeric value; e.g. 0.25 means 25% pa. |
sigma |
the annualized volatility of the underlying security, a numeric value; e.g. 0.3 means 30% volatility pa. |
participation |
participation rate/factor above strike level. Defaults to 1. |
ratio |
ratio, number of underlyings one certificate refers to, a numeric value; e.g. 0.25 means 4 certificates refer to 1 share of the underlying asset |
An Airbag Certificate is a combination of
a fixed component X
a long call with strike price X
X/B short puts with strike price equal to B.
Classification according to the SVSP Swiss Derivative Map 2008: Airbag Certificates (240)
the price (scalar or vector) of the AirbagCertificate
Stefan Wilhelm wilhelm@financial.com
SVSP Swiss Derivative Map http://www.svsp-verband.ch/map/
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ##
AirbagCertificate(S=100, X=100, B=75, Time=0, r=0.045, r_d=0, sigma=0.2,
participation=1, ratio=1)
## payoff diagram
S <- seq(0,120)
p <- AirbagCertificate(S, X=100, B=75, Time=1, r=0.045, r_d=0, sigma=0.2,
participation=1, ratio=1)
p2 <- AirbagCertificate(S, X=100, B=75, Time=0, r=0.045, r_d=0, sigma=0.2,
participation=1, ratio=1)
plot(S, p, type="l", col="red", xlab="underlying price",
ylab="payoff", main="Airbag")
lines(S, p2, col="blue")
abline(v=c(75, 100), lty=2, col="gray80")
|
Loading required package: fBasics
Loading required package: timeDate
Loading required package: timeSeries
Rmetrics Package fBasics
Analysing Markets and calculating Basic Statistics
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org
Loading required package: fOptions
Rmetrics Package fOptions
Pricing and Evaluating Basic Options
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: info@rmetrics.org
Loading required package: fExoticOptions
[1] 100
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