Man pages for brianboonstra/ragtop
Pricing Equity Derivatives with Extensions of Black-Scholes

accelerated_coupon_valuePresent value of coupons according to an acceleration...
adjust_for_dividendsFind the sum of time-adjusted dividend values and adjust grid...
americanPrice one or more american-exercise options
american_implied_volatilityImplied volatility of an american option with...
AmericanOption-classA standard option contract allowing for _early_ exercise at...
blackscholesVectorized Black-Scholes pricing of european-exercise options
black_scholes_on_term_structuresBlack-Scholes pricing of european-exercise options with term...
CALLConstant CALL for defining option contracts
CallableBond-classCallable (and putable) corporate or government bond.
construct_implicit_grid_structureStructure of implicit numerical integration grid
construct_tridiagonalsMatrix entries for implicit numerical differentiation using...
control_variate_pairsForm instrument objects for vanilla options
ConvertibleBond-classConvertible bond with exercise into stock
CouponBond-classStandard corporate or government bond
coupon_value_at_exercisePresent value of coupons according to an acceleration...
detail_from_AnnivDatesConvert output of BondValuation::AnnivDates to inputd for...
EquityOption-classAn option contract with call or put terms
equivalent_bs_vola_to_jumpFind straight Black-Scholes volatility equivalent to jump...
equivalent_jump_vola_to_bsFind jump process volatility with a given default risk from a...
EuropeanOption-classA standard option contract
find_present_valueUse a model to estimate the present value of financial...
fit_to_option_marketCalibrate volatilities and equity-linked default intensity
fit_to_option_market_dfCalibrate volatilities and equity-linked default intensity...
fit_variance_cumulationFit piecewise constant volatilities to a set of equity...
form_present_value_gridUse a model to estimate the present value of financial...
GridPricedInstrument-classRepresentation of financial instrument amenable to grid...
implied_jump_process_volatilityImplied volatility of any instrument
implied_volatilitiesImplied volatilities of european-exercise options under...
implied_volatilities_with_rates_structFind the implied volatility of european-exercise options with...
implied_volatilityImplied volatility of european-exercise option under...
implied_volatility_with_term_structFind the implied volatility of a european-exercise option...
infer_conforming_time_gridA time grid with extra times inserted for coupons, calls and...
integrate_pdeNumerically integrate the pricing differential equation
is.blankReturn TRUE if the argument is empty, NULL or NA
iterate_grid_from_timestepIterate over a set of timesteps to integrate the pricing...
penalty_with_intensity_linkHelper function (volatility-normalized pricing error) for...
price_with_intensity_linkHelper function (instrument pricing) for calibration of...
PUTConstant PUT for defining option contracts
Quandl_df_fcn_USTGet a US Treasury curve discount factor function
Quandl_df_fcn_UST_rawGet a US Treasury curve discount factor function
ragtopPricing schemes for derivatives using equity-linked default...
shift_for_dividendsShift a set of grid values for dividends paid, using spline...
spot_to_df_fcnCreate a discount factor function from a yield curve
take_implicit_timestepBackwardate grid values one timestep
time_adj_dividendsFind the sum of time-adjusted dividend values
TIME_RESOLUTION_FACTORConstant to define when times are considered so close to each...
TIME_RESOLUTION_SIGNIF_DIGITSConstant to define when times are considered so close to each...
timestep_instrumentsTake an implicit timestep for all the given instruments
TSLAMarketMarket information snapshot for TSLA options
value_from_prior_couponsPresent value of past coupons paid
variance_cumulation_from_volsCreate a variance cumulation function from a volatility term...
ZeroCouponBond-classA simple contract paying the 'notional' amount at the...
brianboonstra/ragtop documentation built on June 4, 2019, 12:19 p.m.