ragtop-package |
Pricing schemes for derivatives using equity-linked default intensity |
accelerated_coupon_value |
Present value of coupons according to an acceleration schedule |
adjust_for_dividends |
Find the sum of time-adjusted dividend values and adjust grid prices according to their size in the given interval |
american |
Price one or more american-exercise options |
AmericanOption |
A standard option contract allowing for _early_ exercise at the choice of the option holder |
AmericanOption-class |
A standard option contract allowing for _early_ exercise at the choice of the option holder |
american_implied_volatility |
Implied volatility of an american option with equity-independent term structures |
blackscholes |
Vectorized Black-Scholes pricing of european-exercise options |
black_scholes_on_term_structures |
Black-Scholes pricing of european-exercise options with term structure arguments |
CALL |
Constant CALL for defining option contracts |
CallableBond |
Callable (and putable) corporate or government bond. |
CallableBond-class |
Callable (and putable) corporate or government bond. |
construct_implicit_grid_structure |
Structure of implicit numerical integration grid |
construct_tridiagonals |
Matrix entries for implicit numerical differentiation using Neumann boundary conditions |
control_variate_pairs |
Form instrument objects for vanilla options |
ConvertibleBond |
Convertible bond with exercise into stock |
ConvertibleBond-class |
Convertible bond with exercise into stock |
CouponBond |
Standard corporate or government bond |
CouponBond-class |
Standard corporate or government bond |
coupon_value_at_exercise |
Present value of coupons according to an acceleration schedule |
detail_from_AnnivDates |
Convert output of BondValuation::AnnivDates to inputd for Bond |
EquityOption |
An option contract with call or put terms |
EquityOption-class |
An option contract with call or put terms |
equivalent_bs_vola_to_jump |
Find straight Black-Scholes volatility equivalent to jump process with a given default risk |
equivalent_jump_vola_to_bs |
Find jump process volatility with a given default risk from a straight Black-Scholes volatility |
EuropeanOption |
A standard option contract |
EuropeanOption-class |
A standard option contract |
find_present_value |
Use a model to estimate the present value of financial derivatives |
fit_to_option_market |
Calibrate volatilities and equity-linked default intensity |
fit_to_option_market_df |
Calibrate volatilities and equity-linked default intensity making many assumptions |
fit_variance_cumulation |
Fit piecewise constant volatilities to a set of equity options |
form_present_value_grid |
Use a model to estimate the present value of financial derivatives on a grid of initial underlying values |
GridPricedInstrument |
Representation of financial instrument amenable to grid pricing schemes |
GridPricedInstrument-class |
Representation of financial instrument amenable to grid pricing schemes |
implied_jump_process_volatility |
Implied volatility of any instrument |
implied_volatilities |
Implied volatilities of european-exercise options under Black-Scholes or a jump-process extension |
implied_volatilities_with_rates_struct |
Find the implied volatility of european-exercise options with a term structure of interest rates |
implied_volatility |
Implied volatility of european-exercise option under Black-Scholes or a jump-process extension |
implied_volatility_with_term_struct |
Find the implied volatility of a european-exercise option with term structures |
infer_conforming_time_grid |
A time grid with extra times inserted for coupons, calls and puts |
integrate_pde |
Numerically integrate the pricing differential equation |
is.blank |
Return TRUE if the argument is empty, NULL or NA |
iterate_grid_from_timestep |
Iterate over a set of timesteps to integrate the pricing differential equation |
penalty_with_intensity_link |
Helper function (volatility-normalized pricing error) for calibration of equity-linked default intensity |
price_with_intensity_link |
Helper function (instrument pricing) for calibration of equity-linked default intensity |
PUT |
Constant PUT for defining option contracts |
Quandl_df_fcn_UST |
Get a US Treasury curve discount factor function |
Quandl_df_fcn_UST_raw |
Get a US Treasury curve discount factor function |
ragtop |
Pricing schemes for derivatives using equity-linked default intensity |
shift_for_dividends |
Shift a set of grid values for dividends paid, using spline interpolation |
spot_to_df_fcn |
Create a discount factor function from a yield curve |
take_implicit_timestep |
Backwardate grid values one timestep |
timestep_instruments |
Take an implicit timestep for all the given instruments |
time_adj_dividends |
Find the sum of time-adjusted dividend values |
TIME_RESOLUTION_FACTOR |
Constant to define when times are considered so close to each other that they should be treated as simultaneous |
TIME_RESOLUTION_SIGNIF_DIGITS |
Constant to define when times are considered so close to each other that they should be treated as simultaneous, in terms of significant digits |
TSLAMarket |
Market information snapshot for TSLA options |
value_from_prior_coupons |
Present value of past coupons paid |
variance_cumulation_from_vols |
Create a variance cumulation function from a volatility term structure |
ZeroCouponBond |
A simple contract paying the 'notional' amount at the 'maturity' |
ZeroCouponBond-class |
A simple contract paying the 'notional' amount at the 'maturity' |