Description Usage Arguments Details Value Author(s) See Also Examples
values a Reverse Discount certificate using pricing by duplication
1 | ReverseDiscountCertificate(S, S0, X, Time, r, r_d, sigma, ratio = 1)
|
S |
the asset price, a numeric value. |
S0 |
the underlying start price at issue date |
X |
the exercise price, 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 |
A Reverse Discount certificate is composed of
a short position in stock with reference price S0 (i.e. a Put with strike S0)
a short put with strike price X
the price (scalar or vector) of the Reverse Discount Certificate
Stefan Wilhelm wilhelm@financial.com
similar structures: DiscountCertificate
, ReverseDiscountPlusCertificate
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ##
ReverseDiscountCertificate(S=100, S0=100, X=90, Time=1,
r=0.045, r_d=0, sigma=0.4, ratio=1)
## payoff diagram
S <- seq(0, 150)
p <- ReverseDiscountCertificate(S, S0=100, X=90, Time=1,
r=0.045, r_d=0, sigma=0.4, ratio=1)
p2 <- ReverseDiscountCertificate(S, S0=100, X=90, 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 Discount")
lines(S, p2, col="blue")
abline(v=90, 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] 83.62756
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