EasyExpressCertificate: Easy Express Certificate valuation using pricing by...

In fCertificates: fCertificates - Basics of Certificates and Structured Products Valuation

Description

values a Easy Express Certificate using pricing by duplication

Usage

 EasyExpressCertificate(S, S0, B, Time, r, r_d, sigma, ratio = 1)

Arguments

S	the asset price, a numeric value.
S0	the fix amount payed at maturity if underlying is above B
B	the barrier ("Sicherheitslevel"), 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

Details

There are more than one duplication of an Easy Express Certificate. One is a combination of

1. A zero bond/cash component that pays S0 at maturity

2. A short cash-or-nothing put (CashOrNothingOption) with strike B and cash rebate S0-B

3. A short plain vanilla put with strike price B

Also known as:

• Zanonia-Easy-Zertifikat

Classification according to the SVSP Swiss Derivative Map 2008: Express Certificates (360)
Classification according to the SVSP Swiss Derivative Map 2010: Express Certificates (1260)

Value

the price (scalar or vector) of the EasyExpressCertificate

Author(s)

Stefan Wilhelm [e-mail]

References

SVSP Swiss Derivative Map http://www.svsp-verband.ch/map/

See Also

CashOrNothingOption in fExoticOptions package

Examples

##
EasyExpressCertificate(S=80, S0=100, B=70, Time=1, 
  r=0.045, r_d=0, sigma=0.4, ratio = 1)
  
## payoff diagramm
S <- seq(0, 140)
p <- EasyExpressCertificate(S, S0=100, B=70, Time=1, 
  r=0.045, r_d=0, sigma=0.4, ratio = 1)
p2 <- EasyExpressCertificate(S, S0=100, B=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="Easy Express")
lines(S, p2, col="blue")
abline(v=70, lty=2, col="gray80")  

Example output

Loading required package: fBasics
Loading required package: timeDate
Loading required package: timeSeries


Rmetrics Package fBasics
Analysing Markets and calculating Basic Statistics
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: [e-mail]
Loading required package: fOptions


Rmetrics Package fOptions
Pricing and Evaluating Basic Options
Copyright (C) 2005-2014 Rmetrics Association Zurich
Educational Software for Financial Engineering and Computational Science
Rmetrics is free software and comes with ABSOLUTELY NO WARRANTY.
https://www.rmetrics.org --- Mail to: [e-mail]
Loading required package: fExoticOptions
[1] 79.05205

fCertificates documentation built on May 2, 2019, 5:50 p.m.