GridPricedInstrument-class: Representation of financial instrument amenable to grid...
In brianboonstra/ragtop: Pricing Equity Derivatives with Extensions of Black-Scholes
Description
Our basic instrument defines a tenor/maturity, a method
to provide values in case of default, and a method
to correct instrument prices in light of exercise
decisions.
Fields
maturityThe tenor, expiration date or terminal date by which the value of this security will be certain.
last_computed_gridThe most recently computed set of values from a grid pricing scheme. Used internally for pricing chains of derivatives.
nameA mnemonic name for the instrument, not used by ragtop
Methods
optionality_fcn(v, ...)Return a version of v at time t corrected for any optionality conditions.
recovery_fcn(v, S, t, ...)Return recovery value, given non-default values v at time t. Subclasses may be more elaborate, this method simply returns 0.0.
terminal_values(v, ...)Return a terminal value. defaults to simply calling optionality_fcn.
brianboonstra/ragtop documentation built on March 7, 2020, 2:23 p.m.
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Description
Our basic instrument defines a tenor/maturity, a method to provide values in case of default, and a method to correct instrument prices in light of exercise decisions.
Fields
maturityThe tenor, expiration date or terminal date by which the value of this security will be certain.
last_computed_gridThe most recently computed set of values from a grid pricing scheme. Used internally for pricing chains of derivatives.
nameA mnemonic name for the instrument, not used by ragtop
Methods
optionality_fcn(v, ...)Return a version of v at time t corrected for any optionality conditions.
recovery_fcn(v, S, t, ...)Return recovery value, given non-default values v at time t. Subclasses may be more elaborate, this method simply returns 0.0.
terminal_values(v, ...)Return a terminal value. defaults to simply calling optionality_fcn.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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