ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

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Algorithms to price American and European equity options, convertible bonds and a variety of other financial derivatives. It uses an extension of the usual Black-Scholes model in which jump to default may occur at a probability specified by a power-law link between stock price and hazard rate as found in the paper by Takahashi, Kobayashi, and Nakagawa (2001) <doi:10.3905/jfi.2001.319302>. We use ideas and techniques from Andersen and Buffum (2002) <doi:10.2139/ssrn.355308> and Linetsky (2006) <doi:10.1111/j.1467-9965.2006.00271.x>.

Author
Brian K. Boonstra
Date of publication
2016-09-28 17:10:48
Maintainer
Brian K. Boonstra <ragtop@boonstra.org>
License
GPL (>= 2)
Version
0.5

View on CRAN

Man pages

accelerated_coupon_value
Present value of coupons according to an acceleration...
adjust_for_dividends
Find the sum of time-adjusted dividend values and adjust grid...
american
Price one or more american-exercise options
american_implied_volatility
Implied volatility of an american option with...
AmericanOption-class
A standard option contract allowing for _early_ exercise at...
blackscholes
Vectorized Black-Scholes pricing of european-exercise options
black_scholes_on_term_structures
Black-Scholes pricing of european-exercise options with term...
CALL
Constant CALL for defining option contracts
CallableBond-class
Callable (and putable) corporate or government bond.
construct_implicit_grid_structure
Structure of implicit numerical integration grid
construct_tridiagonals
Matrix entries for implicit numerical differentiation using...
control_variate_pairs
Form instrument objects for vanilla options
ConvertibleBond-class
Convertible bond with exercise into stock
CouponBond-class
Standard corporate or government bond
coupon_value_at_exercise
Present value of coupons according to an acceleration...
EquityOption-class
An option contract with call or put terms
equivalent_bs_vola_to_jump
Find straight Black-Scholes volatility equivalent to jump...
equivalent_jump_vola_to_bs
Find jump process volatility with a given default risk from a...
EuropeanOption-class
A standard option contract
find_present_value
Use a model to estimate the present value of financial...
fit_to_option_market
Calibrate volatilities and equity-linked default intensity
fit_to_option_market_df
Calibrate volatilities and equity-linked default intensity...
fit_variance_cumulation
Fit piecewise constant volatilities to a set of equity...
form_present_value_grid
Use a model to estimate the present value of financial...
GridPricedInstrument-class
Representation of financial instrument amenable to grid...
implied_jump_process_volatility
Implied volatility of any instrument
implied_volatilities
Implied volatilities of european-exercise options under...
implied_volatilities_with_rates_struct
Find the implied volatility of european-exercise options with...
implied_volatility
Implied volatility of european-exercise option under...
implied_volatility_with_term_struct
Find the implied volatility of a european-exercise option...
infer_conforming_time_grid
A time grid with extra times inserted for coupons, calls and...
integrate_pde
Numerically integrate the pricing differential equation
is.blank
Return TRUE if the argument is empty, NULL or NA
iterate_grid_from_timestep
Iterate over a set of timesteps to integrate the pricing...
penalty_with_intensity_link
Helper function (volatility-normalized pricing error) for...
price_with_intensity_link
Helper function (instrument pricing) for calibration of...
PUT
Constant PUT for defining option contracts
Quandl_df_fcn_UST
Get a US Treasury curve discount factor function
Quandl_df_fcn_UST_raw
Get a US Treasury curve discount factor function
ragtop
Pricing schemes for derivatives using equity-linked default...
shift_for_dividends
Shift a set of grid values for dividends paid, using spline...
spot_to_df_fcn
Create a discount factor function from a yield curve
take_implicit_timestep
Backwardate grid values one timestep
time_adj_dividends
Find the sum of time-adjusted dividend values
TIME_RESOLUTION_FACTOR
Constant to define when times are considered so close to each...
TIME_RESOLUTION_SIGNIF_DIGITS
Constant to define when times are considered so close to each...
timestep_instruments
Take an implicit timestep for all the given instruments
TSLAMarket
Market information snapshot for TSLA options
value_from_prior_coupons
Present value of past coupons paid
variance_cumulation_from_vols
Create a variance cumulation function from a volatility term...
ZeroCouponBond-class
A simple contract paying the 'notional' amount at the...

Files in this package

ragtop
ragtop/inst
ragtop/inst/doc
ragtop/inst/doc/ragtop_convertibles_in_r.R
ragtop/inst/doc/ragtop_convertibles_in_r.Rmd
ragtop/inst/doc/ragtop_convertibles_in_r.pdf
ragtop/tests
ragtop/tests/testthat.R
ragtop/tests/testthat
ragtop/tests/testthat/test_convertibles.R
ragtop/tests/testthat/test_cashflows.R
ragtop/tests/testthat/test_blackscholes.R
ragtop/tests/testthat/test_options.R
ragtop/tests/testthat/test_term_structures.R
ragtop/tests/testthat/test_grid_solver.R
ragtop/tests/testthat/test_payoffs.R
ragtop/tests/testthat/test_calibration.R
ragtop/NAMESPACE
ragtop/data
ragtop/data/TSLAMarket.rda
ragtop/R
ragtop/R/term_structures.R
ragtop/R/Untitled.R
ragtop/R/data.R
ragtop/R/cc_code.R
ragtop/R/american_options.R
ragtop/R/ragtop.R
ragtop/R/instruments.R
ragtop/R/calibration.R
ragtop/R/util.R
ragtop/R/cashflows.R
ragtop/R/blackscholes.R
ragtop/R/zzz.R
ragtop/R/implicit.R
ragtop/vignettes
ragtop/vignettes/ragtop_convertibles_in_r.Rmd
ragtop/vignettes/converts.bib
ragtop/README.md
ragtop/MD5
ragtop/build
ragtop/build/vignette.rds
ragtop/DESCRIPTION
ragtop/man
ragtop/man/implied_volatilities_with_rates_struct.Rd
ragtop/man/implied_volatilities.Rd
ragtop/man/is.blank.Rd
ragtop/man/timestep_instruments.Rd
ragtop/man/construct_implicit_grid_structure.Rd
ragtop/man/Quandl_df_fcn_UST_raw.Rd
ragtop/man/blackscholes.Rd
ragtop/man/coupon_value_at_exercise.Rd
ragtop/man/GridPricedInstrument-class.Rd
ragtop/man/iterate_grid_from_timestep.Rd
ragtop/man/implied_volatility.Rd
ragtop/man/TSLAMarket.Rd
ragtop/man/form_present_value_grid.Rd
ragtop/man/AmericanOption-class.Rd
ragtop/man/implied_jump_process_volatility.Rd
ragtop/man/ZeroCouponBond-class.Rd
ragtop/man/construct_tridiagonals.Rd
ragtop/man/Quandl_df_fcn_UST.Rd
ragtop/man/accelerated_coupon_value.Rd
ragtop/man/TIME_RESOLUTION_FACTOR.Rd
ragtop/man/ConvertibleBond-class.Rd
ragtop/man/CouponBond-class.Rd
ragtop/man/PUT.Rd
ragtop/man/EuropeanOption-class.Rd
ragtop/man/EquityOption-class.Rd
ragtop/man/find_present_value.Rd
ragtop/man/fit_variance_cumulation.Rd
ragtop/man/penalty_with_intensity_link.Rd
ragtop/man/implied_volatility_with_term_struct.Rd
ragtop/man/shift_for_dividends.Rd
ragtop/man/fit_to_option_market.Rd
ragtop/man/equivalent_jump_vola_to_bs.Rd
ragtop/man/time_adj_dividends.Rd
ragtop/man/spot_to_df_fcn.Rd
ragtop/man/take_implicit_timestep.Rd
ragtop/man/adjust_for_dividends.Rd
ragtop/man/integrate_pde.Rd
ragtop/man/equivalent_bs_vola_to_jump.Rd
ragtop/man/value_from_prior_coupons.Rd
ragtop/man/CallableBond-class.Rd
ragtop/man/american.Rd
ragtop/man/infer_conforming_time_grid.Rd
ragtop/man/CALL.Rd
ragtop/man/variance_cumulation_from_vols.Rd
ragtop/man/TIME_RESOLUTION_SIGNIF_DIGITS.Rd
ragtop/man/ragtop.Rd
ragtop/man/control_variate_pairs.Rd
ragtop/man/american_implied_volatility.Rd
ragtop/man/price_with_intensity_link.Rd
ragtop/man/fit_to_option_market_df.Rd
ragtop/man/black_scholes_on_term_structures.Rd