Description Usage Arguments Details Value Author(s) Examples
values a Reverse Bonus Certificate using pricing by duplication
1 2 | ReverseBonusCertificate(S, S0, X, B, Time, r, r_d, sigma, ratio=1,
barrierHit=FALSE)
|
S |
the asset price, a numeric value. |
S0 |
the underlying start price at issue date |
X |
the exercise price ("Bonuslevel"), 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. |
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 Reverse Bonus Certificate is a combination of
a short position in the stock with reference price 2*S0 (aka long put with Strike 2*S0)
a up-and-out-call with strike X and barrier B (Cash rebate K = 0 for standard barrier options)
the price (scalar or vector) of the ReverseBonusCertificate
Stefan Wilhelm wilhelm@financial.com
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ##
ReverseBonusCertificate(S=110, S0=120, X=100, B=140, Time=1, r=0.045,
r_d=0, sigma=0.4, ratio=1)
## payoff diagram
S <- seq(0, 150)
p <- ReverseBonusCertificate(S, S0=120, X=100, B=140, Time=0.1, r=0.045,
r_d=0, sigma=0.4, ratio=1)
p2 <- ReverseBonusCertificate(S, S0=120, X=100, B=140, Time=0, r=0.045,
r_d=0, sigma=0.4, ratio=1)
plot(S, p, type="l", col="red", , ylim=range(p, p2, na.rm=TRUE),
xlab="underlying price", ylab="payoff", main="Reverse Bonus")
lines(S, p2, col="blue")
abline(v=c(100, 140), 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] 121.7375
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.