fExpressCertificates: fExpressCertificates - Structured Products Valuation for ExpressCertificates/Autocallables

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

Author
Stefan Wilhelm
Date of publication
2014-04-22 13:34:46
Maintainer
Stefan Wilhelm <stefan.wilhelm@financial.com>
License
GPL (>= 2)
Version
1.2
URLs

View on R-Forge

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

Files in this package

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