Description Usage Arguments Details Value Author(s) References See Also Examples
values a Outperformance Plus Certificate using pricing by duplication
1 2 | OutperformancePlusCertificate(S, X, B, Time, r,
r_d, sigma, participation, ratio = 1, barrierHit=FALSE)
|
S |
the asset price, a numeric value. |
X |
the exercise price, 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 |
barrierHit |
flag whether the barrier has already been reached/hit during the lifetime. Defaults to FALSE. |
A Outperformance Plus Certificate is a combination of
a long position in the stock (aka Zero-Strike Call)
a number of long calls ("participation") with strike price X
a (partial time) down-and-out-put with strike price X and barrier level B
The long call permits a outperformance above strike level X. The down-and-out-put offers partial protection.
Also known as:
Outperformance Bonus Certificate
Classification according to the SVSP Swiss Derivative Map 2008: Outperformance Bonus Certificates (235)
Classification according to the SVSP Swiss Derivative Map 2010: Outperformance Bonus Certificates (1330)
the price (scalar or vector) of the OutperformancePlusCertificate
Stefan Wilhelm wilhelm@financial.com
SVSP Swiss Derivative Map http://www.svsp-verband.ch/map/
similar structures: OutperformanceCertificate
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ##
OutperformancePlusCertificate(S=10, X=12, B=7, Time=1,
r=0.045, r_d=0, sigma=0.4, participation=1.2, ratio = 1)
## payoff diagram
S <- seq(30, 100, by=0.1)
p <- OutperformancePlusCertificate(S, X=60, B=40, Time=1,
r=0.045, r_d=0, sigma=0.4, participation=1.2, ratio = 1)
p2 <- OutperformancePlusCertificate(S, X=60, B=40, Time=0,
r=0.045, r_d=0, sigma=0.4, participation=1.2, ratio = 1)
plot(S, p, type="l", col="red", , ylim=range(p, p2, na.rm=TRUE),
xlab="underlying price", ylab="payoff", main="Outperformance Bonus")
lines(S, p2, col="blue")
abline(v=c(40, 60), lty=2, col="gray80")
|
Loading required package: fBasics
Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fOptions
Loading required package: fExoticOptions
[1] 10.86881
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