Description Usage Arguments Details Value Author(s) References See Also Examples
This function values a Capped Bonus Certificate using pricing by duplication and the Generalized Black/Scholes formula.
1 2 | CappedBonusCertificate(S, X, B, Cap, Time, r, r_d, sigma, ratio = 1,
barrierHit=FALSE)
|
S |
the asset price, a numeric value |
X |
the exercise price ("Bonuslevel"), a numeric value. |
B |
the barrier ("Sicherheitslevel"), a numeric value. |
Cap |
the cap, 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. |
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 |
barrierHit |
flag whether the barrier has already been reached/hit during the lifetime |
A Capped Bonus Certificate is a combination of
a long position in the stock (aka Zero-Strike Call)
a long down-and-out-put with strike price X and barrier B (StandardBarrierOption)
a short call with strike price equal to cap
The payoff of similar to the one of BonusCertificate, albeit capped.
Classification according to the SVSP Swiss Derivative Map 2008: Capped Bonus Certificates (380)
Classification according to the SVSP Swiss Derivative Map 2010: Capped Bonus Certificates (1250)
the price (scalar or vector) of the CappedBonusCertificate
Stefan Wilhelm wilhelm@financial.com
SVSP Swiss Derivative Map http://www.svsp-verband.ch/map/
BonusCertificate
, CappedReverseBonusCertificate
for similar structures
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ##
CappedBonusCertificate(S=50, X=60 , B=35, Cap=75, Time=2, sigma=0.14,
r=0.02, r_d=0, ratio=1)
## payoff diagram
S <- seq(0,120)
p <- CappedBonusCertificate(S, X=60 , B=35, Cap=75, Time=2, sigma=0.14,
r=0.02, r_d=0, ratio=1)
p2 <- CappedBonusCertificate(S, X=60 , B=35, Cap=75, Time=0, sigma=0.14,
r=0.02, r_d=0, ratio=1)
plot(S, p, type="l", col="red", ylim=range(p, p2, na.rm=TRUE),
xlab="underlying price", ylab="payoff", main="Capped Bonus")
lines(S, p2, col="blue")
abline(v=c(35, 60, 75), lty=2, col="gray80")
|
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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
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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
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