getRedemptionTime: Redemption times

In fExpressCertificates: Structured Products Valuation for ExpressCertificates/Autocallables

Description

Return redemption index

Usage

getRedemptionTime(S, n, X)
getRedemptionTimesForMatrix(S, n, X)

Arguments

S	A (n x 1) vector of prices at valuation dates or a (N x n) matrix.
n	number of valuation dates; integer value.
X	A vector of call levels (length (n - 1)).

Details

For a price vector of n prices at valuation dates (S(t_1),…,S(t_n))', determine the first redemption index i such as S(t_i) ≥ X(t_i), \forall_{j < i} S(t_j) ≤ X(t_j) (i=1,…,(n-1) or i=n if S(t_1) ≤ X(t_1), …, S(t_{n-1}) ≤ X(t_{n-1}))

Value

getRedemptionTime returns a scalar; getRedemptionTimesForMatrix returns a N x 1 vector.

Author(s)

Stefan Wilhelm

See Also

calcRedemptionProbabilities and simRedemptionProbabilities

Examples

 S <- c(90, 95, 110, 120)
 X <- c(100, 100, 100)
 getRedemptionTime(S, n=4, X)
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fExpressCertificates documentation built on May 2, 2019, 11:02 a.m.