Pricing Equity Derivatives with Extensions of Black-Scholes


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Documentation for package ‘ragtop’ version 1.2.0

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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
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
treasury_df Get a US Treasury curve discount factor function
treasury_df_raw Get a US Treasury curve discount factor function
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'