Description Usage Arguments Details Value Author(s) See Also Examples
values a Capped Reverse Bonus certificate using pricing by duplication
1 2 | CappedReverseBonusCertificate(S, S0, X, B, Cap, Time, r, r_d,
sigma, ratio = 1, barrierHit=FALSE)
|
S |
the asset price, a numeric value. |
S0 |
the underlying start price at issue date |
X |
the exercise price ("Bonuslevel"), a numeric value. |
B |
the barrier ("Sicherheitslevel"), a numeric value. |
Cap |
the cap, a numeric value. |
Time |
time to maturity measured in years |
r |
the annualized rate of interest, a numeric value; e.g. 0.25 means 25% pa. |
r_d |
the annualized dividend yield, a numeric value; e.g. 0.25 means 25% pa. |
sigma |
the annualized volatility of the underlying security, a numeric value; e.g. 0.3 means 30% volatility pa. |
ratio |
ratio, number of underlyings one certificate refers to, a numeric value; e.g. 0.25 means 4 certificates refer to 1 share of the underlying asset |
barrierHit |
flag whether the barrier has already been reached/hit during the lifetime |
A Reverse Capped Bonus Certificate is a combination of
a short position in stock with reference price S0 (i.e. a Put with strike S0)
an up-and-out-call with strike X and barrier B
a short put with strike price equal to Cap
the price (scalar or vector) of the CappedReverseBonusCertificate
Stefan Wilhelm wilhelm@financial.com
ReverseBonusCertificate
, ReverseDiscountCertificate
for similar structures
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ##
CappedReverseBonusCertificate(S=110, S0=100, X=80, B=120, Cap=70, Time=1,
r=0.045, r_d=0, sigma=0.4, ratio = 1)
## payoff diagram
S <- seq(0,150)
p <- CappedReverseBonusCertificate(S, S0=100, X=80, B=120, Cap=70, Time=1,
r=0.045, r_d=0, sigma=0.4, ratio = 1)
p2 <- CappedReverseBonusCertificate(S, S0=100, X=80, B=120, Cap=70, Time=0,
r=0.045, r_d=0, sigma=0.4, ratio = 1)
plot(S, p, type="l", col="red", ylim=range(p, p2, na.rm=TRUE),
xlab="underlying price", ylab="payoff", main="Reverse Capped Bonus")
lines(S, p2, col="blue")
abline(v=c(70, 80, 120), lty=2, col="gray80")
|
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