SimulateExpressCertificate: Monte Carlo Valuation of Express Certificates

In fExpressCertificates: fExpressCertificates - Structured Products Valuation for ExpressCertificates/Autocallables

Description

Generic Monte Carlo Valuation of Express Certificates using the Euler scheme, multivariate normal distribution and truncated multivariate normal.

Usage

SimulateGenericExpressCertificate(S, X, K, T, r, r_d, sigma, mc.loops = 10000, 
  mc.steps = 1000, payoffFunction = payoffExpressClassic, ...)
SimulateExpressClassicCertificate(S, X, K, T, r, r_d, sigma, mc.loops = 10000, 
  mc.steps = 1000)
SimulateExpressBonusCertificate(S, X, B, K, T, r, r_d, sigma, mc.loops = 10000, 
  mc.steps = 1000, barrierHit = FALSE)
  
simExpressPriceMVN(S, m = Inf, X, K, B, T, r, r_d, sigma, 
  mc.loops = 100000, payoffFunction, ...)
simExpressPriceTMVN(S, m = Inf, X, K, B, T, r, r_d, sigma, 
  mc.loops = 100000, payoffFunction, ...)  

Arguments

S	the asset price, a numeric value
X	a vector of early exercise prices/call levels ("Bewertungsgrenzen"), vector of length (n-1)
B	barrier level
K	vector of fixed early cash rebates in case of early exercise, length (n-1) or n in case of a fixed rebate at maturity
T	a vector of evaluation times measured in years ("Bewertungstage"), vector of length n
r	the annualized rate of interest, a numeric value; e.g. 0.05 means 5% 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.
mc.loops	Monte Carlo Loops (iterations)
mc.steps	Monte Carlo steps in one path
barrierHit	flag whether the barrier has already been reached/hit during the lifetime
payoffFunction	definition of a payoff function, see details below
m	The minimum price up to today for pricing during the lifetime.
...	Additional parameters passed to the payoff function

Details

TO BE DONE: Definition of payoff functions

Value

The methods return an object of class "express.certificate".

An object of class "express.certificate" is a list containing at least the following components:

price	Monte Carlo estimate
prices	A vector of simulated discounted prices (length mc.loops)
n	The number of valuation dates
redemptionTimes	A vector of redemption times i = 1..n (length mc.loops)
S	the asset price, a numeric value
X	early exercise prices/call levels
K	vector of fixed early cash rebates in case of early exercise
T	a vector of evaluation times measured in years ("Bewertungstage")

There is also a method print.express.certificate for pretty printing of express.certificate objects.

Author(s)

Stefan Wilhelm [e-mail]

See Also

Definition of several payoff functions in payoffExpressClassic, payoffExpressCappedBonusType1 or payoffExpressBonusType1

print.express.certificate for pretty printing of express.certificate objects

Examples

## Not run: 
# Example CB7AXR on Deutsche Telekom on 10.12.2009
p <- SimulateExpressBonusCertificate(S=10.4/12.10*100, X=c(100,100,100), B=7/12.1*100, 
    K=c(134, 142.5, 151), 
	T=.RLZ(c("16.12.2009","17.06.2010","17.12.2010"), start="10.12.2009"), r=0.01, r_d=0, 
	sigma=0.23, mc.loops=10000, mc.steps=1000)
p

## End(Not run)

fExpressCertificates documentation built on May 2, 2019, 4:48 p.m.