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fCertificates (version 0.5-4)
Basics of Certificates and Structured Products Valuation
Description
Collection of pricing by duplication methods for popular structured products ("Zertifikate").
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Version
Version
0.5-4
0.5-3
0.5-2
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Install
install.packages('fCertificates')
Monthly Downloads
38
Version
0.5-4
License
GPL (>= 2)
Maintainer
Stefan Wilhelm
Last Published
April 13th, 2015
Functions in fCertificates (0.5-4)
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CappedReverseBonusCertificate
Capped Reverse Bonus Certificate valuation using pricing by duplication
DiscountCertificate
Discount Certificate valuation using pricing by duplication using pricing by duplication
CappedBonusCertificate
Capped Bonus Certificate valuation using pricing by duplication
ReverseConvertiblePlusPro
Reverse Convertible Plus Pro Certificate valuation using pricing by duplication
TurboCertificate
Turbo Certificate valuation
BonusProCertificate
Bonus Pro Certificate valuation using pricing by duplication
OutperformanceCertificate
Outperformance Certificate valuation using pricing by duplication
ReturnCertificate
Return Certificate valuation using pricing by duplication
implyVolatility
imply the volatility of the certificate with Newton/Raphson
OutperformancePlusCertificate
Outperformance Plus Certificate valuation using pricing by duplication
Warrant
Warrant valuation using pricing by duplication
DiscountPlusCertificate
DiscountPlus Certificate valuation using pricing by duplication
LeveragedBonusCertificate
Leveraged Bonus Certificate valuation using pricing by duplication
CappedWarrant
Capped Warrant (Discount Call/Discount Put) valuation using pricing by duplication
AirbagCertificate
Airbag Certificate valuation using pricing by duplication
ReverseDiscountPlusCertificate
Reverse Discount Plus Certificate valuation using pricing by duplication
EasyExpressCertificate
Easy Express Certificate valuation using pricing by duplication
GarantieCertificate
Guarantee Certificate valuation using pricing by duplication
DoubleBarrierBinaryCall
Double Barrier Binary Call valuation using pricing by duplication
ReverseOutperformanceCertificate
Reverse Outperformance Certificatevaluation using pricing by duplication
SprintCertificate
Sprint Certificate valuation using pricing by duplication
BonusCertificate
Bonus Certificate valuation using pricing by duplication
Straddle
Straddle valuation
ReverseDiscountCertificate
Reverse Discount Certificate valuation using pricing by duplication
ReverseConvertible
Reverse Convertible Certificate valuation using pricing by duplication
Strangle
Strangle valuation
ReverseBonusCertificate
Reverse Bonus Certificate valuation using pricing by duplication
TwinWinCertificate
Twin Win Certificate valuation using pricing by duplication