R/capped_call_note_imp_spr.R

In veldanie/SuraStructuredNotes: Sura Asset Management Structured Products

capped_call_note_imp_spr <-function(note_price, ini_date, mat_date, fix_index_date, fix_spot_date, ini_date_avg, fin_date_avg, fx_spot, index_spot, index_ini, a, b, max_ret, 
                                    nom_pay, nom_prot, bond_cc_curve, dom_cc_curve, for_cc_curve, vol_matrix, base, coupon=0, credit_spread=0, 
                                    fwd_points,  haz_curve=NULL, pay_curr_risk=FALSE, quote_delta=TRUE, quote_bfrr=TRUE, delta_type=1, rate_type="nominal", 
                                    denom=100, pay_curr="USD", nom_curr="COP", index_curr="USD", round_digits=3, quanto=1, quanto_id=NULL, quanto_spot=NULL,  
                                    vol_matrix_quanto=NULL, quanto_cc_curve=NULL, rho=0, prev_vol1=NULL,prev_vol2=NULL, interv=c(-0.2,0.2),...){
  spr=0
  if(a!=0){
  obj_fun_ne<-function(x){
    diff=note_price-capped_call_note(ini_date=ini_date, mat_date=mat_date, fix_index_date=fix_index_date, fix_spot_date=fix_spot_date, ini_date_avg=ini_date_avg, fin_date_avg=fin_date_avg, fx_spot=fx_spot, index_spot=index_spot, index_ini=index_ini, a=a, b=b, max_ret=max_ret, 
                                     nom_pay=nom_pay, nom_prot=nom_prot, bond_cc_curve=bond_cc_curve, dom_cc_curve=dom_cc_curve, for_cc_curve=for_cc_curve, vol_matrix=vol_matrix, base=base, coupon=coupon, credit_spread = x,
                                     fwd_points=fwd_points,  haz_curve=haz_curve, pay_curr_risk=pay_curr_risk, quote_delta=quote_delta, quote_bfrr=quote_bfrr, delta_type=delta_type, rate_type=rate_type, 
                                     denom=denom, pay_curr=pay_curr, nom_curr=nom_curr, index_curr=index_curr, round_digits=round_digits, quanto=quanto, quanto_id=quanto_id, quanto_spot=quanto_spot,  
                                     vol_matrix_quanto=vol_matrix_quanto, quanto_cc_curve=quanto_cc_curve, rho=rho, prev_vol1=prev_vol1,prev_vol2=prev_vol2)$pr_perc_prot
    return(diff)
  }
  spr=try(uniroot(f=obj_fun_ne, interval=interv)$root, silent=TRUE)
  if(!is.numeric(spr)){spr=0}
  }
  return(spr)
}