ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes
Version 0.5

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) . We use ideas and techniques from Andersen and Buffum (2002) and Linetsky (2006) .

AuthorBrian K. Boonstra
Date of publication2016-09-28 17:10:48
MaintainerBrian K. Boonstra <ragtop@boonstra.org>
LicenseGPL (>= 2)
Version0.5
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("ragtop")

Getting started

README.md
ragtop: Complex Derivatives Pricing

Popular man pages

american: Price one or more american-exercise options
american_implied_volatility: Implied volatility of an american option with...
CALL: Constant CALL for defining option contracts
CallableBond-class: Callable (and putable) corporate or government bond.
CouponBond-class: Standard corporate or government bond
ragtop: Pricing schemes for derivatives using equity-linked default...
TIME_RESOLUTION_SIGNIF_DIGITS: Constant to define when times are considered so close to each...
See all...

All man pages Function index File listing

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...

Functions

AmericanOption Man page
AmericanOption-class Man page
CALL Man page
CallableBond Man page
CallableBond-class Man page
ConvertibleBond Man page
ConvertibleBond-class Man page
CouponBond Man page
CouponBond-class Man page
EquityOption Man page
EquityOption-class Man page
EuropeanOption Man page
EuropeanOption-class Man page
GridPricedInstrument Man page
GridPricedInstrument-class Man page
PUT Man page
Quandl_df_fcn_UST Man page Source code
Quandl_df_fcn_UST_raw Man page Source code
TIME_RESOLUTION_FACTOR Man page
TIME_RESOLUTION_SIGNIF_DIGITS Man page
TSLAMarket Man page
ZeroCouponBond Man page
ZeroCouponBond-class Man page
accelerated_coupon_value Man page Source code
adjust_for_dividends Man page Source code
american Man page Source code
american_implied_volatility Man page Source code
black_scholes_on_term_structures Man page Source code
blackscholes Man page Source code
construct_implicit_grid_structure Man page Source code
construct_tridiagonals Man page Source code
control_variate_pairs Man page Source code
coupon_value_at_exercise Man page Source code
equivalent_bs_vola_to_jump Man page Source code
equivalent_jump_vola_to_bs Man page Source code
find.stock.returns Source code
find_present_value Man page Source code
fit_to_option_market Man page Source code
fit_to_option_market_df Man page Source code
fit_variance_cumulation Man page Source code
form_present_value_grid Man page Source code
generate.stock.prices Source code
generate.stock.returns Source code
implied_jump_process_volatility Man page Source code
implied_volatilities Man page
implied_volatilities_with_rates_struct Man page Source code
implied_volatility Man page Source code
implied_volatility_with_term_struct Man page Source code
infer_conforming_time_grid Man page Source code
integrate_pde Man page Source code
is.blank Man page Source code
iterate_grid_from_timestep Man page Source code
log_layout_fcn Source code
onAttach Source code
onLoad Source code
penalty_with_intensity_link Man page Source code
price_with_intensity_link Man page Source code
ragtop Man page
ragtop-package Man page
shift_for_dividends Man page Source code
size_in_dimension Source code
spot_to_df_fcn Man page Source code
take_implicit_timestep Man page Source code
time_adj_dividends Man page Source code
timestep_instruments Man page Source code
value_from_prior_coupons Man page Source code
variance_cumulation_from_vols Man page Source code

Files

inst
inst/doc
inst/doc/ragtop_convertibles_in_r.R
inst/doc/ragtop_convertibles_in_r.Rmd
inst/doc/ragtop_convertibles_in_r.pdf
tests
tests/testthat.R
tests/testthat
tests/testthat/test_convertibles.R
tests/testthat/test_cashflows.R
tests/testthat/test_blackscholes.R
tests/testthat/test_options.R
tests/testthat/test_term_structures.R
tests/testthat/test_grid_solver.R
tests/testthat/test_payoffs.R
tests/testthat/test_calibration.R
NAMESPACE
data
data/TSLAMarket.rda
R
R/term_structures.R
R/Untitled.R
R/data.R
R/cc_code.R
R/american_options.R
R/ragtop.R
R/instruments.R
R/calibration.R
R/util.R
R/cashflows.R
R/blackscholes.R
R/zzz.R
R/implicit.R
vignettes
vignettes/ragtop_convertibles_in_r.Rmd
vignettes/converts.bib
README.md
MD5
build
build/vignette.rds
DESCRIPTION
man
man/implied_volatilities_with_rates_struct.Rd
man/implied_volatilities.Rd
man/is.blank.Rd
man/timestep_instruments.Rd
man/construct_implicit_grid_structure.Rd
man/Quandl_df_fcn_UST_raw.Rd
man/blackscholes.Rd
man/coupon_value_at_exercise.Rd
man/GridPricedInstrument-class.Rd
man/iterate_grid_from_timestep.Rd
man/implied_volatility.Rd
man/TSLAMarket.Rd
man/form_present_value_grid.Rd
man/AmericanOption-class.Rd
man/implied_jump_process_volatility.Rd
man/ZeroCouponBond-class.Rd
man/construct_tridiagonals.Rd
man/Quandl_df_fcn_UST.Rd
man/accelerated_coupon_value.Rd
man/TIME_RESOLUTION_FACTOR.Rd
man/ConvertibleBond-class.Rd
man/CouponBond-class.Rd
man/PUT.Rd
man/EuropeanOption-class.Rd
man/EquityOption-class.Rd
man/find_present_value.Rd
man/fit_variance_cumulation.Rd
man/penalty_with_intensity_link.Rd
man/implied_volatility_with_term_struct.Rd
man/shift_for_dividends.Rd
man/fit_to_option_market.Rd
man/equivalent_jump_vola_to_bs.Rd
man/time_adj_dividends.Rd
man/spot_to_df_fcn.Rd
man/take_implicit_timestep.Rd
man/adjust_for_dividends.Rd
man/integrate_pde.Rd
man/equivalent_bs_vola_to_jump.Rd
man/value_from_prior_coupons.Rd
man/CallableBond-class.Rd
man/american.Rd
man/infer_conforming_time_grid.Rd
man/CALL.Rd
man/variance_cumulation_from_vols.Rd
man/TIME_RESOLUTION_SIGNIF_DIGITS.Rd
man/ragtop.Rd
man/control_variate_pairs.Rd
man/american_implied_volatility.Rd
man/price_with_intensity_link.Rd
man/fit_to_option_market_df.Rd
man/black_scholes_on_term_structures.Rd
ragtop documentation built on May 19, 2017, 12:28 p.m.

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