ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes

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>.

AuthorBrian K. Boonstra
Date of publication2016-09-28 17:10:48
MaintainerBrian K. Boonstra <ragtop@boonstra.org>
LicenseGPL (>= 2)
Version0.5

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...

Functions

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

Files

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

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