fExpressCertificates: fExpressCertificates - Structured Products Valuation for ExpressCertificates/Autocallables

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
http://www.r-project.org

View on R-Forge

Functions

ArtihmeticBrownianMotion Man page
BM Man page
BrownianMotion Man page
calcBMProbability Man page
calcBrownianMotionProbability Man page
calcGBMProbability Man page
calcRedemptionProbabilities Man page
calcStopProbabilities Man page
calculateProbabilityBrownianMotion Man page
calculateProbabilityGeometricBrownianMotion Man page
Conditional.MonteCarlo.ExpressCertificate.Classic Man page
dBrownianBridgeMinimum Man page
ExpressCertificate.Classic Man page
GBM Man page
GeometricBrownianMotion Man page
GeometricBrownianMotionMatrix Man page
getRedemptionTime Man page
getRedemptionTimesForMatrix Man page
MonteCarlo.ExpressCertificate Man page
MonteCarlo.ExpressCertificate.Classic Man page
MonteCarloStopProbabilities Man page
payoffExpressBonusType1 Man page
payoffExpressCappedBonusType1 Man page
payoffExpressClassic Man page
payoffExpressML0AN5 Man page
print.express.certificate Man page
rBrownianBridgeMinimum Man page
simExpressPriceMVN Man page
simExpressPriceTMVN Man page
simPricesAndMinimumFromGBM Man page
simPricesAndMinimumFromGBM2 Man page
simPricesAndMinimumFromTruncatedGBM Man page
simRedemptionProbabilities Man page
SimulateExpressBonusCertificate Man page
SimulateExpressClassicCertificate Man page
SimulateGenericExpressCertificate Man page

Files

fExpressCertificates/DESCRIPTION
fExpressCertificates/NAMESPACE
fExpressCertificates/NEWS
fExpressCertificates/R
fExpressCertificates/R/BrownianBridge.R
fExpressCertificates/R/BrownianMotion.R
fExpressCertificates/R/ExpressCertificates-MC.R
fExpressCertificates/R/ExpressCertificates.R
fExpressCertificates/R/GeometricBrownianMotion.R
fExpressCertificates/R/Probabilities.R
fExpressCertificates/R/simExpressPrice.R
fExpressCertificates/R/simPricesAndMinimum.R
fExpressCertificates/R/stopProbabilities.R
fExpressCertificates/inst
fExpressCertificates/inst/doc
fExpressCertificates/inst/doc/DE000BLB2488.pdf
fExpressCertificates/inst/doc/LBB10Y.pdf
fExpressCertificates/inst/doc/ML0AN5.pdf
fExpressCertificates/inst/doc/index.html
fExpressCertificates/man
fExpressCertificates/man/BrownianBridgeMinimum.Rd fExpressCertificates/man/ExpressCertificate.Classic.Rd fExpressCertificates/man/GeometricBrownianMotion.Rd fExpressCertificates/man/MonteCarlo.ExpressCertificate.Classic.Rd fExpressCertificates/man/SimulateExpressCertificate.Rd fExpressCertificates/man/calcBMProbability.Rd fExpressCertificates/man/calcGBMProbability.Rd fExpressCertificates/man/calcRedemptionProbabilities.Rd fExpressCertificates/man/getRedemptionTime.Rd fExpressCertificates/man/payoffExpress.Rd fExpressCertificates/man/print.express.certificate.Rd fExpressCertificates/man/simPricesAndMinimumFromGBM.Rd fExpressCertificates/man/simPricesAndMinimumFromTruncatedGBM.Rd

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