Description Usage Arguments Details Value Author(s) References See Also Examples
values a Reverse Convertible Plus Pro Certificate using pricing by duplication
1 2 | ReverseConvertiblePlusPro(S, Cap, B, Time, r, r_d, sigma, nominal,
coupon, barrierHit=FALSE)
|
S |
the asset price, a numeric value. |
Cap |
the cap, a numeric value. |
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. |
nominal |
nominal value, e.g. 1000 EUR |
coupon |
annualized coupon rate, e.g. 0.14 means 14% coupon p.a. |
barrierHit |
flag whether the barrier has already been reached/hit during the lifetime. Defaults to FALSE. |
Also known as:
Barrier Reverse Convertibles
Classification according to the SVSP Swiss Derivative Map 2008: Barrier Reverse Convertibles (340)
Classification according to the SVSP Swiss Derivative Map 2010: Barrier Reverse Convertibles (1230)
the price (scalar or vector) of the ReverseConvertible
Stefan Wilhelm wilhelm@financial.com
SVSP Swiss Derivative Map http://www.svsp-verband.ch/map/
similar structures: ReverseConvertible
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ##
ReverseConvertiblePlusPro(S=40, Cap=50, B=35, Time=1, r=0.045, r_d=0,
sigma=0.4, nominal=1000, coupon=0.14)
## payoff diagram
S <- seq(0, 100)
p <- ReverseConvertiblePlusPro(S, Cap=50, B=35, Time=1, r=0.045, r_d=0,
sigma=0.4, nominal=1000, coupon=0.14)
p2 <- ReverseConvertiblePlusPro(S, Cap=50, B=35, Time=0, r=0.045, r_d=0,
sigma=0.4, nominal=1000, coupon=0.14)
plot(S, p, type="l", col="red", xlab="underlying price",
ylab="payoff", main="Barrier Reverse Convertible")
lines(S, p2, col="blue")
abline(v=c(35, 50), lty=2, col="gray80")
|
Loading required package: fBasics
Loading required package: timeDate
Loading required package: timeSeries
Loading required package: fOptions
Loading required package: fExoticOptions
[1] 86.95674
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