Description Usage Arguments Details Value Author(s) See Also
Defining common or particular payoff functions for Express Certificates
1 2 3 4 | payoffExpressClassic(i, n, S, m, K)
payoffExpressML0AN5(i, n, S, m, K, B, S0)
payoffExpressCappedBonusType1(i, n, S, m, K, B)
payoffExpressBonusType1(i, n, S, m, K, B)
|
i |
The redemption date (i=1,...,n) |
n |
The number of valuation dates |
S |
A vector of length n for the prices at the valuation dates, i.e. S(t_1),...,S(t_n) |
m |
A vector of length n for the running minimum at the valuation dates, i.e. m(t_1),...,m(t_n) |
K |
A vector of fixed cash rebates at early redemption times |
B |
A barrier level to be monitored |
S0 |
underlying start price |
Payoff structure of express certificates can be either path independent or path dependent,
while monitoring a barrier B
.
Path independent payoffs:
The function payoffExpressClassic
implements the following payoff at t_i:
p(t_i) = K[i] for i < n, else S[n]
Path dependent payoffs:
The function payoffExpressCappedBonusType1
implements the following payoff:
p(t_i) = | K[i] | for i < n |
S[n] | for i == n and m[n] <= B | |
K[n] | for i == n and m[n] > B |
In case the barrier has not been hit during the lifetime, a fixed bonus payment K[n] is payed and the payoff is therefore capped.
The function payoffExpressBonusType1
implements the following payoff:
p(t_i) | K[i] | for i < n |
S[n] | for i == n and m[n] <= B | |
max(K[n],S[n]) | for i == n and m[n] > B |
Unlike in the payoffExpressCappedBonusType1
,
this payoff is not capped for the case (S(t_n) > K(t_n))
The function payoffExpressML0AN5
is an example of an quite complicated payoff including
path dependence and coupon payments. See also the certificate prospectus ../inst/doc/ML0AN5.pdf.
returns the certificate payoff (Not discounted payoff!) for the given inputs at time i
Stefan Wilhelm wilhelm@financial.com
See also the generic pricing function SimulateGenericExpressCertificate
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