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fExpressCertificates (version 1.2)

fExpressCertificates - Structured Products Valuation for ExpressCertificates/Autocallables

Description

Collection of pricing by duplication and Monte Carlo methods for Express Certificates products (also known as Autocallables)

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Version

Install

install.packages('fExpressCertificates')

Monthly Downloads

8

Version

1.2

License

GPL (>= 2)

Maintainer

Stefan Wilhelm

Last Published

August 30th, 2013

Functions in fExpressCertificates (1.2)

GeometricBrownianMotion

Simulate paths from a Arithmetic or Geometric Brownian Motion
Express Certificates Redemption Probabilities

Redemption Probabilities for Express Certificates
Distribution of the Brownian Bridge Minimum

Distribution of the Minimum of a Brownian Bridge
MonteCarlo.ExpressCertificate.Classic

Monte Carlo valuation of Classic Express Certificates
simPricesAndMinimumFromGBM

Simulation of the joint finite-dimensional distribution of the Geometric Brownian Motion and its minimum
simPricesAndMinimumFromTruncatedGBM

Simulation of the joint finite-dimensional distribution of a restricted Geometric Brownian Motion and its minimum
getRedemptionTime

Redemption times
payoffExpress

Defining payoff functions for Express Certificates
SimulateExpressCertificate

Monte Carlo Valuation of Express Certificates
calcBMProbability

Calculates probabilities for the Arithmetic Brownian Motion
calcGBMProbability

Calculates probabilities for the Geometric Brownian Motion
print.express.certificate

Print method for express certificates
ExpressCertificate.Classic

Analytical and numerical pricing of Classic Express Certificates