payoffExpress: Defining payoff functions for Express Certificates

Description Usage Arguments Details Value Author(s) See Also

Description

Defining common or particular payoff functions for Express Certificates

Usage

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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)

Arguments

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

Details

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.

Value

returns the certificate payoff (Not discounted payoff!) for the given inputs at time i

Author(s)

Stefan Wilhelm wilhelm@financial.com

See Also

See also the generic pricing function SimulateGenericExpressCertificate


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