fExpressCertificates: fExpressCertificates - Structured Products Valuation for ExpressCertificates/Autocallables
Version 1.2

Collection of pricing by duplication and Monte Carlo methods for Express Certificates products (also known as Autocallables)

AuthorStefan Wilhelm
Date of publication2014-04-22 13:34:46
MaintainerStefan Wilhelm <stefan.wilhelm@financial.com>
LicenseGPL (>= 2)
Version1.2
URL http://www.r-project.org
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("fExpressCertificates", repos="http://R-Forge.R-project.org")

Popular man pages

BrownianBridgeMinimum: Distribution of the Minimum of a Brownian Bridge
calcBMProbability: Calculates probabilities for the Arithmetic Brownian Motion
calcGBMProbability: Calculates probabilities for the Geometric Brownian Motion
GeometricBrownianMotion: Simulate paths from a Arithmetic or Geometric Brownian Motion
MonteCarlo.ExpressCertificate.Classic: Monte Carlo valuation of Classic Express Certificates
print.express.certificate: Print method for express certificates
SimulateExpressCertificate: Monte Carlo Valuation of Express Certificates
See all...

All man pages Function index File listing

Man pages

BrownianBridgeMinimum: Distribution of the Minimum of a Brownian Bridge
calcBMProbability: Calculates probabilities for the Arithmetic Brownian Motion
calcGBMProbability: Calculates probabilities for the Geometric Brownian Motion
calcRedemptionProbabilities: Redemption Probabilities for Express Certificates
ExpressCertificate.Classic: Analytical and numerical pricing of Classic Express...
GeometricBrownianMotion: Simulate paths from a Arithmetic or Geometric Brownian Motion
getRedemptionTime: Redemption times
MonteCarlo.ExpressCertificate.Classic: Monte Carlo valuation of Classic Express Certificates
payoffExpress: Defining payoff functions for Express Certificates
print.express.certificate: Print method for express certificates
simPricesAndMinimumFromGBM: Simulation of the joint finite-dimensional distribution of...
simPricesAndMinimumFromTruncatedGBM: Simulation of the joint finite-dimensional distribution of a...
SimulateExpressCertificate: Monte Carlo Valuation of Express Certificates

Functions

ArtihmeticBrownianMotion Man page
BM Man page
BrownianBridge Source code
BrownianMotion Man page Source code
Conditional.MonteCarlo.ExpressCertificate.Classic Man page Source code
EasyExpressCertificate Source code
ExpressBonusCertificate Source code
ExpressCappedBonusCertificate Source code
ExpressCertificate Source code
ExpressCertificate.Classic Man page Source code
GBM Man page
GeometricBrownianMotion Man page Source code
GeometricBrownianMotionMatrix Man page Source code
MonteCarlo.ExpressCertificate Man page Source code
MonteCarlo.ExpressCertificate.Classic Man page Source code
MonteCarloStopProbabilities Man page
RLZ Source code
SimulateExpressBonusCertificate Man page Source code
SimulateExpressCertificateML0AN5 Source code
SimulateExpressClassicCertificate Man page Source code
SimulateGenericExpressCertificate Man page Source code
annualizeYield Source code
calcBMProbability Man page
calcBrownianMotionProbability Man page
calcGBMProbability Man page
calcRedemptionProbabilities Man page Source code
calcStopProbabilities Man page
calculate.conditional.props Source code
calculateProbabilityBrownianMotion Man page Source code
calculateProbabilityGeometricBrownianMotion Man page Source code
cdf.GBM.Min Source code
cdf.M_t Source code
cdf.m_t Source code
dBrownianBridgeMinimum Man page Source code
g Source code
getRedemptionTime Man page Source code
getRedemptionTime2 Source code
getRedemptionTimesForMatrix Man page Source code
joint.cdf.GBM.Min.Poulsen Source code
joint.cdf.GBM.Min.Simulation Source code
joint.cdf.M_s.B_t Source code
joint.cdf.M_s.B_t1 Source code Source code
joint.cdf.M_t.B_t Source code
joint.cdf.m_s.B_t Source code
joint.cdf.m_s.B_t1 Source code
joint.cdf.m_t.B_t Source code
payoffExpressBonusType1 Man page Source code
payoffExpressCappedBonusType1 Man page Source code
payoffExpressClassic Man page Source code
payoffExpressML0AN5 Man page Source code
print.express.certificate Man page Source code
prob.barrier Source code
probInRange Source code
rBrownianBridgeMinimum Man page Source code
shortfall_risk Source code Source code
simExpressPriceMVN Man page Source code
simExpressPriceTMVN Man page Source code
simPricesAndMinimumFromGBM Man page Source code
simPricesAndMinimumFromGBM2 Man page Source code
simPricesAndMinimumFromTruncatedGBM Man page Source code
simProbInRange Source code
simRedemptionProbabilities Man page Source code

Files

DESCRIPTION
NAMESPACE
NEWS
R
R/BrownianBridge.R
R/BrownianMotion.R
R/ExpressCertificates-MC.R
R/ExpressCertificates.R
R/GeometricBrownianMotion.R
R/Probabilities.R
R/simExpressPrice.R
R/simPricesAndMinimum.R
R/stopProbabilities.R
inst
inst/doc
inst/doc/DE000BLB2488.pdf
inst/doc/LBB10Y.pdf
inst/doc/ML0AN5.pdf
inst/doc/index.html
man
man/BrownianBridgeMinimum.Rd
man/ExpressCertificate.Classic.Rd
man/GeometricBrownianMotion.Rd
man/MonteCarlo.ExpressCertificate.Classic.Rd
man/SimulateExpressCertificate.Rd
man/calcBMProbability.Rd
man/calcGBMProbability.Rd
man/calcRedemptionProbabilities.Rd
man/getRedemptionTime.Rd
man/payoffExpress.Rd
man/print.express.certificate.Rd
man/simPricesAndMinimumFromGBM.Rd
man/simPricesAndMinimumFromTruncatedGBM.Rd
fExpressCertificates documentation built on May 21, 2017, 12:35 a.m.

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