Algorithms to price American and European
equity options, convertible bonds and a
variety of other financial derivatives. It uses an
extension of the usual BlackScholes model in which
jump to default may occur at a probability specified
by a powerlaw link between stock price and hazard
rate as found in the paper by Takahashi, Kobayashi,
and Nakagawa (2001)
Author  Brian K. Boonstra 
Date of publication  20160928 17:10:48 
Maintainer  Brian K. Boonstra <ragtop@boonstra.org> 
License  GPL (>= 2) 
Version  0.5 
Package repository  View on CRAN 
Installation  Install the latest version of this package by entering the following in R:



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 timeadjusted dividend values and adjust grid...  
american: Price one or more americanexercise options  
american_implied_volatility: Implied volatility of an american option with...  
AmericanOptionclass: A standard option contract allowing for _early_ exercise at...  
blackscholes: Vectorized BlackScholes pricing of europeanexercise options  
black_scholes_on_term_structures: BlackScholes pricing of europeanexercise options with term...  
CALL: Constant CALL for defining option contracts  
CallableBondclass: 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  
ConvertibleBondclass: Convertible bond with exercise into stock  
CouponBondclass: Standard corporate or government bond  
coupon_value_at_exercise: Present value of coupons according to an acceleration...  
EquityOptionclass: An option contract with call or put terms  
equivalent_bs_vola_to_jump: Find straight BlackScholes volatility equivalent to jump...  
equivalent_jump_vola_to_bs: Find jump process volatility with a given default risk from a...  
EuropeanOptionclass: A standard option contract  
find_present_value: Use a model to estimate the present value of financial...  
fit_to_option_market: Calibrate volatilities and equitylinked default intensity  
fit_to_option_market_df: Calibrate volatilities and equitylinked 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...  
GridPricedInstrumentclass: Representation of financial instrument amenable to grid...  
implied_jump_process_volatility: Implied volatility of any instrument  
implied_volatilities: Implied volatilities of europeanexercise options under...  
implied_volatilities_with_rates_struct: Find the implied volatility of europeanexercise options with...  
implied_volatility: Implied volatility of europeanexercise option under...  
implied_volatility_with_term_struct: Find the implied volatility of a europeanexercise 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 (volatilitynormalized 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 equitylinked 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 timeadjusted 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...  
ZeroCouponBondclass: A simple contract paying the 'notional' amount at the... 
Functions  

AmericanOption  Man page 
AmericanOptionclass  Man page 
CALL  Man page 
CallableBond  Man page 
CallableBondclass  Man page 
ConvertibleBond  Man page 
ConvertibleBondclass  Man page 
CouponBond  Man page 
CouponBondclass  Man page 
EquityOption  Man page 
EquityOptionclass  Man page 
EuropeanOption  Man page 
EuropeanOptionclass  Man page 
GridPricedInstrument  Man page 
GridPricedInstrumentclass  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 
ZeroCouponBondclass  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 
ragtoppackage  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/GridPricedInstrumentclass.Rd  
man/iterate_grid_from_timestep.Rd  
man/implied_volatility.Rd  
man/TSLAMarket.Rd  
man/form_present_value_grid.Rd  
man/AmericanOptionclass.Rd  
man/implied_jump_process_volatility.Rd  
man/ZeroCouponBondclass.Rd  
man/construct_tridiagonals.Rd  
man/Quandl_df_fcn_UST.Rd  
man/accelerated_coupon_value.Rd  
man/TIME_RESOLUTION_FACTOR.Rd  
man/ConvertibleBondclass.Rd  
man/CouponBondclass.Rd  
man/PUT.Rd  
man/EuropeanOptionclass.Rd  
man/EquityOptionclass.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/CallableBondclass.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 
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