fCertificates (version 0.5-4)

ReverseConvertiblePlusPro: Reverse Convertible Plus Pro Certificate valuation using pricing by duplication

Description

values a Reverse Convertible Plus Pro Certificate using pricing by duplication

Usage

ReverseConvertiblePlusPro(S, Cap, B, Time, r, r_d, sigma, nominal,  coupon, barrierHit=FALSE)

Arguments

S

the asset price, a numeric value.

Cap

the cap, a numeric value.

B

the barrier ("Sicherheitslevel"), a numeric value.

Time

time to maturity measured in years

r

the annualized rate of interest, a numeric value; e.g. 0.25 means 25% 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.

nominal

nominal value, e.g. 1000 EUR

coupon

annualized coupon rate, e.g. 0.14 means 14% coupon p.a.

barrierHit

flag whether the barrier has already been reached/hit during the lifetime. Defaults to FALSE.

Value

the price (scalar or vector) of the ReverseConvertible

Details

Also known as:

• Barrier Reverse Convertibles

Classification according to the SVSP Swiss Derivative Map 2008: Barrier Reverse Convertibles (340) Classification according to the SVSP Swiss Derivative Map 2010: Barrier Reverse Convertibles (1230)

References

SVSP Swiss Derivative Map http://www.svsp-verband.ch/map/

See Also

similar structures: ReverseConvertible

Examples

##
ReverseConvertiblePlusPro(S=40, Cap=50, B=35, Time=1, r=0.045, r_d=0, 
  sigma=0.4, nominal=1000, coupon=0.14)
  
## payoff diagram
S <- seq(0, 100)
p <- ReverseConvertiblePlusPro(S, Cap=50, B=35, Time=1, r=0.045, r_d=0, 
  sigma=0.4, nominal=1000, coupon=0.14)
p2 <- ReverseConvertiblePlusPro(S, Cap=50, B=35, Time=0, r=0.045, r_d=0, 
  sigma=0.4, nominal=1000, coupon=0.14)
plot(S, p,  type="l", col="red", xlab="underlying price", 
  ylab="payoff", main="Barrier Reverse Convertible")
lines(S, p2, col="blue")
abline(v=c(35, 50), lty=2, col="gray80")