Description Usage Arguments Details Value Author(s) References See Also Examples
This function values a Twin Win Certificate using pricing by duplication and the Generalized Black/Scholes formula.
1 2 | TwinWinCertificate(S, X, B, Time, r, r_d, sigma,
participation = 1, ratio = 1)
|
S |
the asset price, a numeric value. |
X |
the exercise price ("Bonuslevel"), 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. |
participation |
participation rate/factor between bonus level and 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 Twin Win Certificate is a combination of
a long position in the stock (aka Zero-Strike Call)
2 long down-and-out-puts with strike price X and barrier B (StandardBarrierOption)
The structure is similar to a Bonus Certificate, the only difference is a double participation at maturity in the range between B and X, implying a "Twin Win" situation for slightly falling underlying prices.
Classification according to the SVSP Swiss Derivative Map 2008: Twin-Win Certificates (250)
Classification according to the SVSP Swiss Derivative Map 2010: Twin-Win Certificates (1340)
the price (scalar or vector) of the Twin Win Certificate
Stefan Wilhelm wilhelm@financial.com
SVSP Swiss Derivative Map http://www.svsp-verband.ch/map/
BonusCertificate
for a similar structure
1 2 3 4 5 6 7 8 9 10 11 12 13 14 | ##
TwinWinCertificate(S=100, X=100, B=80, Time=2, r = 0.03, r_d = 0,
sigma=0.15, participation=1.2, ratio = 1)
## payoff diagram
S <- seq(50, 150, by=0.1)
p <- TwinWinCertificate(S, X=100, B=80, Time=0.2, r = 0.03, r_d = 0,
sigma=0.15, participation=1.2, ratio = 1)
p2 <- TwinWinCertificate(S, X=100, B=80, Time=0, r = 0.03, r_d = 0,
sigma=0.15, 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="Twin-Win")
lines(S, p2, col="blue")
abline(v=c(80, 100), 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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[1] 105.1451
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