Description Usage Arguments Details Value Author(s) References Examples
values a Outperformance Certificate using pricing by duplication
1 | OutperformanceCertificate(S, X, Time, r, r_d, sigma, participation, ratio = 1)
|
S |
the asset price, a numeric value. |
X |
the exercise price (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. |
participation |
participation rate/factor above strike level. Defaults to 1. |
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 |
A Outperformance Certificate is a combination of
a long position in the stock (aka Zero-Strike Call)
a long call with strike price X
The long call permits a outperformance above strike level X.
Classification according to the SVSP Swiss Derivative Map 2008: Outperformance Certificates (230)
Classification according to the SVSP Swiss Derivative Map 2010: Outperformance Certificates (1310)
the price (scalar or vector) of the OutperformanceCertificate
Stefan Wilhelm wilhelm@financial.com
SVSP Swiss Derivative Map http://www.svsp-verband.ch/map/
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ##
OutperformanceCertificate(S=50, X=60, Time=1,
r=0.03, r_d=0, sigma=0.4, participation=1.2, ratio = 1)
## payoff diagram
S <- seq(0,100)
p <- OutperformanceCertificate(S, X=60, Time=1,
r=0.03, r_d=0, sigma=0.4, participation=1.2, ratio = 1)
p2 <- OutperformanceCertificate(S, X=60, Time=0,
r=0.03, r_d=0, sigma=0.4, participation=1.2, ratio = 1)
plot(S, p, type="l", col="red", , ylim=range(p, p2, na.rm=TRUE),
xlab="underlying price", ylab="payoff", main="Outperformance")
lines(S, p2, col="blue")
abline(v=60, lty=2, col="gray80")
|
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Analysing Markets and calculating Basic Statistics
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Educational Software for Financial Engineering and Computational Science
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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: info@rmetrics.org
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