Description Usage Arguments Details Value Author(s) References See Also Examples
This function values a TurboCertificate using barrier option formulas. "Call Turbos/Turbo Bulls" are effectively long down-and-out calls and "Put Turbos/Turbo Bears" are effectively up-and-out-puts.
1 | TurboCertificate(type, S, X, B, Time, r, r_d, sigma, ratio = 1)
|
type |
type flag, either "c" for long and "p" for short |
S |
the asset price, a numeric value |
X |
the exercise price (strike), a numeric value. |
B |
the barrier (knock-out-level), 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 |
This is simply a convenience wrapper function for the StandardBarrierOption
method
which can also scale with a ratio
.
Also known as:
Knock-out Warrant
Turbo Bull/Turbo Bear
Turbo Long/Turbo Short
Up-and-Out-Call/Down-and-Out-Put
Barrier Option
Classification according to the SVSP Swiss Derivative Map 2008: Knock-out Warrants (120)
Classification according to the SVSP Swiss Derivative Map 2010: Knock-out Warrants (2200)
the price of the TurboCertificate
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 | ##
TurboCertificate("c", S=40, X=42, B=38, Time=1, r=0.035, r_d=0,
sigma=0.3, ratio=1)
## payoff
S <- seq(0, 100)
p <- TurboCertificate("c", S, X=42, B=38, Time=1, r=0.035, r_d=0,
sigma=0.3, ratio=1)
p2 <- TurboCertificate("c", S, X=42, B=38, Time=0, r=0.035, r_d=0,
sigma=0.3, ratio=1)
plot(S, p, type="l", col="red", , ylim=range(p, p2, na.rm=TRUE),
xlab="underlying price", ylab="payoff", main="Knock-out Warrant")
lines(S, p2, col="blue")
abline(v=c(38, 42), lty=2, col="gray80")
|
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
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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: info@rmetrics.org
Loading required package: fExoticOptions
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